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

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dc.contributor.coauthorHonoré, B. E.
dc.contributor.coauthorHu, L.
dc.contributor.coauthorLeth-Petersen, S.
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorAlan, Şule
dc.contributor.kuprofileFaculty Member
dc.contributor.otherDepartment of Economics
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T13:14:39Z
dc.date.issued2021
dc.description.abstractThis 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.
dc.description.fulltextYES
dc.description.indexedbyScopus
dc.description.issue1
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipNSF Grant
dc.description.sponsorshipDanish National Research Foundation
dc.description.sponsorshipDanish Social Science Research Council
dc.description.sponsorshipGregory C. Chow Econometric Research Program
dc.description.versionAuthor's final manuscript
dc.description.volume3
dc.formatpdf
dc.identifier.doi10.1515/jem-2012-0012
dc.identifier.embargoNO
dc.identifier.filenameinventorynoIR02743
dc.identifier.issn2156-6674
dc.identifier.linkhttps://doi.org/10.1515/jem-2012-0012
dc.identifier.quartileN/A
dc.identifier.scopus2-s2.0-85100465172
dc.identifier.urihttps://hdl.handle.net/20.500.14288/2983
dc.keywordsCensored regression
dc.keywordsPanel data
dc.keywordsTruncated regression
dc.languageEnglish
dc.publisherDe Gruyter Open
dc.relation.grantnoSES-0417895
dc.relation.urihttp://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/9387
dc.sourceJournal of Econometric Methods
dc.subjectDynamic panel data model
dc.subjectFixed effects
dc.subjectFinite sample
dc.titleEstimation of panel data regression models with two-sided censoring or truncation
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorAlan, Şule
relation.isOrgUnitOfPublication7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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