IDEAS home Printed from https://ideas.repec.org/p/fip/fedhwp/wp-2011-08.html
   My bibliography  Save this paper

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

Author

Listed:
  • Sule Alan
  • Bo E. Honore
  • Luojia Hu
  • Soren 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.

Suggested Citation

  • Sule Alan & Bo E. Honore & Luojia Hu & Soren Leth-Petersen, 2011. "Estimation of panel data regression models with two-sided censoring or truncation," Working Paper Series WP-2011-08, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhwp:wp-2011-08
    as

    Download full text from publisher

    File URL: http://www.chicagofed.org/digital_assets/publications/working_papers/2011/wp2011_08.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. John McMillan & Christopher Woodruff, 1999. "Interfirm Relationships and Informal Credit in Vietnam," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(4), pages 1285-1320.
    2. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
    3. Arellano, Manuel & Honore, Bo, 2001. "Panel data models: some recent developments," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 53, pages 3229-3296, Elsevier.
    4. King, Mervyn A. & Leape, Jonathan I., 1998. "Wealth and portfolio composition: Theory and evidence," Journal of Public Economics, Elsevier, vol. 69(2), pages 155-193, June.
    5. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
    6. Alan, Sule & Atalay, Kadir & Crossley, Thomas F. & Jeon, Sung-Hee, 2010. "New evidence on taxes and portfolio choice," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 813-823, December.
    7. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
    8. Honore, Bo E. & Hu, Luojia, 2004. "Estimation of cross sectional and panel data censored regression models with endogeneity," Journal of Econometrics, Elsevier, vol. 122(2), pages 293-316, October.
    9. Gary Charness & Guillaume R. Frechette & John H. Kagel, 2004. "How Robust is Laboratory Gift Exchange?," Experimental Economics, Springer;Economic Science Association, vol. 7(2), pages 189-205, June.
    10. Lafontaine, Francine, 1993. "Contractual Arrangements as Signaling Devices: Evidence from Franchising," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 9(2), pages 256-289, October.
    11. Sule Alan & Søren Leth-Petersen, 2006. "Tax Incentives and Household Portfolios: A Panel Data Analysis," CAM Working Papers 2006-13, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    12. M. J. Andrews & T. Schank & R. Simmons, 2005. "Does Worksharing Work? Some Empirical Evidence From The Iab‐Establishment Panel," Scottish Journal of Political Economy, Scottish Economic Society, vol. 52(2), pages 141-176, May.
    13. Jack A. Nickerson & Brian S. Silverman, 2003. "Why aren't all Truck Drivers Owner‐Operators? Asset Ownership and the Employment Relation in Interstate for‐hire Trucking," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 12(1), pages 91-118, March.
    14. Khan, Shakeeb & Ponomareva, Maria & Tamer, Elie, 2016. "Identification of panel data models with endogenous censoring," Journal of Econometrics, Elsevier, vol. 194(1), pages 57-75.
    15. Joseph P. Ferrie & Karen Rolf, 2011. "Socioeconomic Status in Childhood and Health After Age 70: A New Longitudinal Analysis for the U.S., 1895-2005," NBER Working Papers 17016, National Bureau of Economic Research, Inc.
    16. Houston, Joel F & Ryngaert, Michael D, 1997. "Equity Issuance and Adverse Selection: A Direct Test Using Conditional Stock Offers," Journal of Finance, American Finance Association, vol. 52(1), pages 197-219, March.
    17. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
    18. Petersen, Mitchell A & Rajan, Raghuram G, 1994. "The Benefits of Lending Relationships: Evidence from Small Business Data," Journal of Finance, American Finance Association, vol. 49(1), pages 3-37, March.
    19. Jason Abrevaya, 1999. "Rank estimation of a transformation model with observed truncation," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 292-305.
    20. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    21. Luojia Hu, 2002. "Estimation of a Censored Dynamic Panel Data Model," Econometrica, Econometric Society, vol. 70(6), pages 2499-2517, November.
    22. repec:bla:jfinan:v:59:y:2004:i:6:p:2719-2743 is not listed on IDEAS
    23. Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
    24. Ferrie, Joseph & Rolf, Karen, 2011. "Socioeconomic status in childhood and health after age 70: A new longitudinal analysis for the U.S., 1895–2005," Explorations in Economic History, Elsevier, vol. 48(4), pages 445-460.
    25. Hubbard, Robert Glenn, 1985. "Personal Taxation, Pension Wealth, and Portfolio Composition," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 53-60, February.
    26. Feldstein, Martin S, 1976. "Personal Taxation and Portfolio Composition: An Econometric Analysis," Econometrica, Econometric Society, vol. 44(4), pages 631-650, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nicholas Economides & Przemyslaw Jeziorski, 2017. "Mobile Money in Tanzania," Marketing Science, INFORMS, vol. 36(6), pages 815-837, November.
    2. Ayala, Diana & Nedeljkovic, Milan & Saborowski, Christian, 2017. "What slice of the pie? The corporate bond market boom in emerging economies," Journal of Financial Stability, Elsevier, vol. 30(C), pages 16-35.
    3. Yajun Zhu & Churen Sun, 2022. "Carbon Reduction, Pollution Intensity, and Firms’ Ratios of Value Added in Exports: Evidence from China’s Low-Carbon Pilot Policy," Sustainability, MDPI, vol. 14(19), pages 1-26, October.
    4. Lagarde, Mylene & Papanicolas, Irene & Stacey, Nicholas, 2024. "The demand for private telehealth services in low- and middle-income countries: Evidence from South Africa," Social Science & Medicine, Elsevier, vol. 354(C).
    5. Hasegawa, Makoto & Kiyota, Kozo, 2017. "The effect of moving to a territorial tax system on profit repatriation: Evidence from Japan," Journal of Public Economics, Elsevier, vol. 153(C), pages 92-110.
    6. Lin, Boqiang & Zhu, Junpeng, 2019. "Impact of energy saving and emission reduction policy on urban sustainable development: Empirical evidence from China," Applied Energy, Elsevier, vol. 239(C), pages 12-22.
    7. Bo E. Honoré & Luojia Hu, 2018. "Simpler bootstrap estimation of the asymptotic variance of U‐statistic‐based estimators," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-10, February.
    8. Mark Ottoni-Wilhelm & Lise Vesterlund & Huan Xie, 2017. "Why Do People Give? Testing Pure and Impure Altruism," American Economic Review, American Economic Association, vol. 107(11), pages 3617-3633, November.
    9. C. Giannetti, 2014. "Time Preference Instability, Financial and Working Status," Working Papers wp924, Dipartimento Scienze Economiche, Universita' di Bologna.
    10. repec:zbw:bofitp:2016_008 is not listed on IDEAS
    11. Ou Yang & Peter Sivey & Andrea M. de Silva & Anthony Scott, 2016. "Preschool Children’s Demand for Sugar Sweetened Beverages: Evidence from Stated-Preference Panel Data," Melbourne Institute Working Paper Series wp2016n25, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    12. Ritter, Nolan & Schmidt, Christoph M. & Vance, Colin, 2016. "Short-run fuel price responses: At the pump and on the road," Energy Economics, Elsevier, vol. 58(C), pages 67-76.
    13. Boris O. K. Lokonon & Aly A. Mbaye, 2019. "Implications of Climate-Related Factors on Living Standards: Evidence from Sub-Saharan Africa," Economics Bulletin, AccessEcon, vol. 39(2), pages 1404-1417.
    14. Emmanuel Selorm Tsyawo, 2023. "Feasible IV regression without excluded instruments," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 235-256.
    15. Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
    16. Li, Kuei-Fu & Liao, Yi-Ping, 2014. "Directors' and officers' liability insurance and investment efficiency: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 18-34.
    17. Nadia Chernenko, 2013. "Market power issues in the reformed Russian electricity supply industry," Cambridge Working Papers in Economics 1358, Faculty of Economics, University of Cambridge.
    18. Ritter, Nolan & Schmidt, Christoph M. & Vance, Colin, 2013. "How Full Is the tank? – Insights on Short-run Fuel Price Reactions from German Travel Diary Data," Ruhr Economic Papers 401, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    19. Ou Yang & Peter Sivey & Andrea M. de Silva & Anthony Scott, 2020. "Parents' Demand for Sugar Sweetened Beverages for Their Pre‐School Children: Evidence from a Stated‐Preference Experiment," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 480-504, March.
    20. Pierre-Louis Vezina & Lorenzo Rotunno, 2013. "In-bond Diversion," Economics Series Working Papers 664, University of Oxford, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
    2. repec:hal:wpspec:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5 is not listed on IDEAS
    3. Jochmans, Koen, 2015. "Multiplicative-error models with sample selection," Journal of Econometrics, Elsevier, vol. 184(2), pages 315-327.
    4. repec:hal:spmain:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5 is not listed on IDEAS
    5. Khan, Shakeeb & Ponomareva, Maria & Tamer, Elie, 2016. "Identification of panel data models with endogenous censoring," Journal of Econometrics, Elsevier, vol. 194(1), pages 57-75.
    6. Abrevaya, Jason, 2000. "Rank estimation of a generalized fixed-effects regression model," Journal of Econometrics, Elsevier, vol. 95(1), pages 1-23, March.
    7. repec:spo:wpmain:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5 is not listed on IDEAS
    8. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2021. "Inference on semiparametric multinomial response models," Quantitative Economics, Econometric Society, vol. 12(3), pages 743-777, July.
    9. repec:spo:wpecon:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5 is not listed on IDEAS
    10. Zoutman, Floris T., 2014. "The Effect of Capital Taxes on Household's Portfolio Composition and Intertemporal Choice: Evidence from the Dutch 2001 Capital Income Tax Reform," Discussion Papers 2014/23, Norwegian School of Economics, Department of Business and Management Science.
    11. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    12. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
    13. Richard Ochmann, 2014. "Differential income taxation and household asset allocation," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 880-894, March.
    14. Frank M. Fossen & Ray Rees & Davud Rostam-Afschar & Viktor Steiner, 2020. "The effects of income taxation on entrepreneurial investment: A puzzle?," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 27(6), pages 1321-1363, December.
    15. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2020. "Inference on Semiparametric Multinomial Response Models," Discussion Papers Series 627, School of Economics, University of Queensland, Australia.
    16. Chen, Songnian & Zhou, Xianbo, 2012. "Semiparametric estimation of a truncated regression model," Journal of Econometrics, Elsevier, vol. 167(2), pages 297-304.
    17. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2019. "Inference on Semiparametric Multinomial Response Models," Boston College Working Papers in Economics 980, Boston College Department of Economics.
    18. Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
    19. Steiner, Viktor & Fossen, Frank & Rees, Ray & Rostam-Afschar, Davud, 2017. "How Do Entrepreneurial Portfolios Respond to Income Taxation?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168302, Verein für Socialpolitik / German Economic Association.
    20. Khan, S. & Ponomareva, M. & Tamer, E., 2023. "Identification of dynamic binary response models," Journal of Econometrics, Elsevier, vol. 237(1).
    21. Schalck, Christophe, 2017. "Tax measures and household financial behaviour: Evidence from France," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 127-135.
    22. Frank Fossen & Ray Rees & Davud Rostam-Afschar & Viktor Steiner, 2017. "How Do Entrepreneurial Portfolios Respond to Taxation?," CESifo Working Paper Series 6558, CESifo.
    23. Honore, Bo E. & Hu, Luojia, 2004. "Estimation of cross sectional and panel data censored regression models with endogeneity," Journal of Econometrics, Elsevier, vol. 122(2), pages 293-316, October.
    24. Irene Botosaru & Chris Muris, 2022. "Identification of time-varying counterfactual parameters in nonlinear panel models," Papers 2212.09193, arXiv.org, revised Nov 2023.

    More about this item

    Keywords

    Regression analysis;

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedhwp:wp-2011-08. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lauren Wiese (email available below). General contact details of provider: https://edirc.repec.org/data/frbchus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.