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

Alan, S and Honor�, BE and Hu, L and Leth-Petersen, S (2013) 'Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation.' Journal of Econometric Methods. ISSN 2194-6345

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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.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 16 Oct 2013 10:36
Last Modified: 17 Aug 2017 17:55
URI: http://repository.essex.ac.uk/id/eprint/8174

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