Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Chicago
Working Paper Series
Estimation of panel data regression models with two-sided censoring or truncation
Sule Alan
Bo E. Honoré
Luojia Hu
Søren Leth-Petersen
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.


Download Full text
Cite this item
Sule Alan & Bo E. Honoré & Luojia Hu & Søren Leth-Petersen, Estimation of panel data regression models with two-sided censoring or truncation, Federal Reserve Bank of Chicago, Working Paper Series WP-2011-08, 2011.
More from this series
JEL Classification:
Subject headings:
Keywords: Regression analysis
For corrections, contact Bernie Flores ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal