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

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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.
Original languageEnglish
JournalJournal of Econometric Methods
Issue number1
Pages (from-to)1-20
Number of pages20
Publication statusPublished - 2014

Bibliographical note

JEL Code: C20; C23; C24

ID: 43885956