Estimation of panel data regression models with two-sided censoring or truncation

Sule Alan, Bo E. Honoré, Luojia Hu, Søren Leth-Petersen

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell 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.

Original languageEnglish (US)
Pages (from-to)1-20
Number of pages20
JournalJournal of Econometric Methods
Volume3
Issue number1
DOIs
StatePublished - 2021

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Statistics and Probability
  • Applied Mathematics

Keywords

  • Censored regression
  • Panel data
  • Truncated regression

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