20 Pages Posted: 12 Jan 2009
Date Written: November 9, 2008
It is straightforward to construct moment conditions for two-sided censored panel data regression models with strictly exogenous explanatory variables. The contribution of this note is to show that one set of these moment conditions uniquely identify the parameters of the model under a natural full-rank condition. The identification result suggests an estimator that is then applied to evaluate the portfolio allocation effect of a Danish tax reform that increased the after-tax capital income of bonds relative to stocks.
Keywords: Censoring, Panel Data, Tax Reform, Portfolio Allocation
JEL Classification: C33, C34, G11, H24
Suggested Citation: Suggested Citation
Alan, Sule and Honoré, Bo E. and Leth‐Petersen, Søren, Estimation of Panel Data Models with Two-Sided Censoring (November 9, 2008). Available at SSRN: https://ssrn.com/abstract=1325276 or http://dx.doi.org/10.2139/ssrn.1325276
By Bo Honoré