Estimation of Panel Data Models with Two-Sided Censoring

20 Pages Posted: 12 Jan 2009  

Sule Alan

University of Essex; Koc University

Bo E. Honoré

Princeton University - Department of Economics

Søren Leth‐Petersen

University of Copenhagen - Department of Economics

Date Written: November 9, 2008

Abstract

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

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

Sule Alan

University of Essex ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom
+447860810427 (Phone)
+447860810427 (Fax)

HOME PAGE: http://https://sites.google.com/site/salancrossley/

Koc University ( email )

Rumelifeneri Yolu
Sariyer 80910, Istanbul
Turkey

Bo E. Honore (Contact Author)

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

Soren Leth-Petersen

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5
Bygning 26
1353 Copenhagen K.
Denmark

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