48 Pages Posted: 19 Nov 2011
Date Written: November 14, 2011
This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell (1986) the estimation strategy is based on moment conditions constructed from re-censored or re-truncated residuals. While these moment conditions do not identify the parameter of interest, they can be used to motivate objective functions that do. We apply one of the estimators to study the effect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.
Keywords: Panel Data, Censored Regression, Truncated Regression
JEL Classification: C20, C23, C24
Suggested Citation: Suggested Citation
Alan, Sule and Honoré, Bo E. and Hu, Luojia and Leth‐Petersen, Søren, Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation (November 14, 2011). FRB of Chicago Working Paper No. 2011-08. Available at SSRN: https://ssrn.com/abstract=1961703 or http://dx.doi.org/10.2139/ssrn.1961703