Abstract
This 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.
| Original language | English |
|---|---|
| Journal | Journal of Econometric Methods |
| Volume | 3 |
| Issue number | 1 |
| Pages (from-to) | 1-20 |
| Number of pages | 20 |
| ISSN | 2156-6674 |
| DOIs | |
| Publication status | Published - 2021 |
Keywords
- Faculty of Social Sciences
- censored regression
- panel data
- truncated regression