Alan, Sule2; Honore, Bo E.3; Hu, Luojia4; Leth-Petersen, Søren6
1 Department of Economics, Faculty of Social Sciences, Københavns Universitet2 College of Administrative Sciences and Economics, Koc University, Istanbul,3 Princeton University4 Economic Research Department, Federal Reserve Bank of Chicago5 Økonomisk Institut, Department of Economics, Faculty of Social Sciences, Københavns Universitet6 Økonomisk Institut, Department of Economics, Faculty of Social Sciences, Københavns Universitet
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.
Journal of Econometric Methods, 2014, Vol 3, Issue 1, p. 1-20
Faculty of Social Sciences; censored regression; panel data; truncated regression