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A Censored Random Coefficients Model For Pooled Survey Data With Application To The Estimation Of Power Outage Costs

  • Klaus Moeltner
  • David F. Layton

In many surveys, multiple observations on the dependent variable are collected from a given respondent. The resulting pooled data set is likely to be censored and to exhibit cross-sectional heterogeneity. We propose a model that addresses both issues by allowing regression coefficients to vary randomly across respondents and by using the GewekeHajivassiliou-Keane simulator and Halton sequences to estimate highorder probabilities. We show how this framework can be usefully applied to the estimation of power outage costs to firms using data from a recent survey conducted by a U.S. utility. Our results strongly reject the hypotheses of parameter constancy and cross-sectional homogeneity. © 2002 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

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Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 84 (2002)
Issue (Month): 3 (August)
Pages: 552-561

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Handle: RePEc:tpr:restat:v:84:y:2002:i:3:p:552-561
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