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

Author

Listed:
  • Alan Sule

    (College of Administrative Sciences and Economics, Koc University, Istanbul, 34450, Turkey)

  • Honoré Bo E.

    (Department of Economics, Princeton University, Princeton, NJ 08544-1021, USA)

  • Hu Luojia

    (Economic Research Department, Federal Reserve Bank of Chicago, 230 S. La Salle Street, Chicago, IL 60604, USA)

  • Leth-Petersen Søren

    (Department of Economics, University of Copenhagen, Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K. and SFI, The Danish National Centre for Social Research, Herluf Trolles Gade 11, DK-1052, Denmark)

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.

Suggested Citation

  • Alan Sule & Honoré Bo E. & Hu Luojia & Leth-Petersen Søren, 2014. "Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation," Journal of Econometric Methods, De Gruyter, vol. 3(1), pages 1-20, January.
    • Handle: RePEc:bpj:jecome:v:3:y:2014:i:1:p:1-20:n:2
    DOI: 10.1515/jem-2012-0012
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    More about this item

    Keywords

    censored regression; panel data; truncated regression; JEL Code: C20; C23; C24;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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