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

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Standard

Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation. / Alan, Sule; Honore, Bo E.; Hu, Luojia; Leth-Petersen, Søren.

I: Journal of Econometric Methods, Bind 3, Nr. 1, 2014, s. 1-20.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Alan, S, Honore, BE, Hu, L & Leth-Petersen, S 2014, 'Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation', Journal of Econometric Methods, bind 3, nr. 1, s. 1-20. https://doi.org/10.1515/jem-2012-0012

APA

Alan, S., Honore, B. E., Hu, L., & Leth-Petersen, S. (2014). Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation. Journal of Econometric Methods, 3(1), 1-20. https://doi.org/10.1515/jem-2012-0012

Vancouver

Alan S, Honore BE, Hu L, Leth-Petersen S. Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation. Journal of Econometric Methods. 2014;3(1):1-20. https://doi.org/10.1515/jem-2012-0012

Author

Alan, Sule ; Honore, Bo E. ; Hu, Luojia ; Leth-Petersen, Søren. / Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation. I: Journal of Econometric Methods. 2014 ; Bind 3, Nr. 1. s. 1-20.

Bibtex

@article{1951c6894a0547dba97a55e95cf7c16c,
title = "Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation",
abstract = "This paper constructs estimators for panel data regression models with individual speci…fic 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 e¤ect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.",
keywords = "Faculty of Social Sciences, censored regression , panel data, truncated regression, censored regression, panel data, truncated regression",
author = "Sule Alan and Honore, {Bo E.} and Luojia Hu and S{\o}ren Leth-Petersen",
note = "JEL Code: C20; C23; C24",
year = "2014",
doi = "10.1515/jem-2012-0012",
language = "English",
volume = "3",
pages = "1--20",
journal = "Journal of Econometric Methods",
issn = "2156-6674",
publisher = "Walterde Gruyter GmbH",
number = "1",

}

RIS

TY - JOUR

T1 - Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation

AU - Alan, Sule

AU - Honore, Bo E.

AU - Hu, Luojia

AU - Leth-Petersen, Søren

N1 - JEL Code: C20; C23; C24

PY - 2014

Y1 - 2014

N2 - This paper constructs estimators for panel data regression models with individual speci…fic 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 e¤ect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.

AB - This paper constructs estimators for panel data regression models with individual speci…fic 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 e¤ect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.

KW - Faculty of Social Sciences

KW - censored regression

KW - panel data

KW - truncated regression

KW - censored regression

KW - panel data

KW - truncated regression

U2 - 10.1515/jem-2012-0012

DO - 10.1515/jem-2012-0012

M3 - Journal article

VL - 3

SP - 1

EP - 20

JO - Journal of Econometric Methods

JF - Journal of Econometric Methods

SN - 2156-6674

IS - 1

ER -

ID: 43885956