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

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  • Sule Alan
  • Bo E. Honore
  • Luojia Hu

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.

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  • Sule Alan & Bo E. Honore & Luojia Hu, 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
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    8. 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.
    9. 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.
    10. Pierre-Louis Vezina & Lorenzo Rotunno, 2013. "In-bond Diversion," Economics Series Working Papers 664, University of Oxford, Department of Economics.
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