Estimation of a censored regression panel data model using conditional moment restrictions efficiently

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Abstract

A new semiparametric estimator for the censored regression panel data model with fixed effects is introduced. It is based upon an estimator proposed by Honore for the case of two time periods combined with ideas of Newey to improve the efficiency. The estimator is more efficient than Honore's and is generalized to the case of a balanced or unbalanced panel of more than two waves. Estimation is performed in two steps. Using Honore's estimator in a first step, efficient GMM using conditional moment restrictions is applied. The performance of this estimator is compared to that of Honore's and other existing estimators in an empirical example concerning labour income of married females, using panel data from the Dutch Socio-Economic Panel, 1984-1988. Attention is paid to specification testing and the sensitivity of the results for the choice of smoothness parameters.
Original languageEnglish
PublisherUnknown Publisher
Number of pages31
Volume1995-114
Publication statusPublished - 1995

Publication series

NameCentER Discussion Paper
Volume1995-114

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Censored regression
Conditional moment restrictions
Estimator
Socio-economics
Unbalanced panels
Labor income
Fixed effects
Semiparametric estimators
Specification testing
Panel data

Keywords

  • Estimation
  • Panel Data
  • statistics

Cite this

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title = "Estimation of a censored regression panel data model using conditional moment restrictions efficiently",
abstract = "A new semiparametric estimator for the censored regression panel data model with fixed effects is introduced. It is based upon an estimator proposed by Honore for the case of two time periods combined with ideas of Newey to improve the efficiency. The estimator is more efficient than Honore's and is generalized to the case of a balanced or unbalanced panel of more than two waves. Estimation is performed in two steps. Using Honore's estimator in a first step, efficient GMM using conditional moment restrictions is applied. The performance of this estimator is compared to that of Honore's and other existing estimators in an empirical example concerning labour income of married females, using panel data from the Dutch Socio-Economic Panel, 1984-1988. Attention is paid to specification testing and the sensitivity of the results for the choice of smoothness parameters.",
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author = "G.W.P. Charlier and B. Melenberg and {van Soest}, A.H.O.",
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year = "1995",
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Estimation of a censored regression panel data model using conditional moment restrictions efficiently. / Charlier, G.W.P.; Melenberg, B.; van Soest, A.H.O.

Unknown Publisher, 1995. (CentER Discussion Paper; Vol. 1995-114).

Research output: Working paperDiscussion paperOther research output

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T1 - Estimation of a censored regression panel data model using conditional moment restrictions efficiently

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AB - A new semiparametric estimator for the censored regression panel data model with fixed effects is introduced. It is based upon an estimator proposed by Honore for the case of two time periods combined with ideas of Newey to improve the efficiency. The estimator is more efficient than Honore's and is generalized to the case of a balanced or unbalanced panel of more than two waves. Estimation is performed in two steps. Using Honore's estimator in a first step, efficient GMM using conditional moment restrictions is applied. The performance of this estimator is compared to that of Honore's and other existing estimators in an empirical example concerning labour income of married females, using panel data from the Dutch Socio-Economic Panel, 1984-1988. Attention is paid to specification testing and the sensitivity of the results for the choice of smoothness parameters.

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KW - Panel Data

KW - statistics

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T3 - CentER Discussion Paper

BT - Estimation of a censored regression panel data model using conditional moment restrictions efficiently

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