Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation

48 Pages Posted: 19 Nov 2011  

Sule Alan

affiliation not provided to SSRN

Bo E. Honoré

Princeton University - Department of Economics

Luojia Hu

Federal Reserve Bank of Chicago

Søren Leth‐Petersen

University of Copenhagen - Department of Economics

Date Written: November 14, 2011

Abstract

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

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

Sule Alan

affiliation not provided to SSRN ( email )

Bo E. Honore

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

Luojia Hu (Contact Author)

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
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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