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Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
Abstract
This paper considers estimation of truncated.and censored regression models with fixed effects. Up until now, no estimator has been shown to be consistent as the cross-section dimension increases with the time dimension fixed. Trimmed least absolute deviations and trimmed least squares estimators are proposed for the case where the panel is of length two, and it is proven that they are consistent and asymptotically normal. It is not necessary to maintain parametric assumptions on the error terms to obtain this result. A small scale Monte Carlo study demonstrates that these estimators can perform well in small samples. Copyright 1992 by The Econometric Society.
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Citations
Cited by
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Identification and Inference in Nonlinear Difference-in-Differences Models
Athey, S., & Imbens, G. W. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00668.x · Cited by 1,084
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FALKENSTEIN, E. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05204.x · Cited by 1,058
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Graff Zivin, J., & Neidell, M. (2014) · Journal of Labor Economics · doi:10.1086/671766 · Cited by 1,024
Metadata
- Authors
- Honore, B. E.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1992-05
- Volume
- 60
- Issue
- 3
- Pages
- 533
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2077440153
- Cited by
- 770
- References
- 0
- FWCI
- 18.59
- Type
- journal article
- Language
- en
- Open access
- closed
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- Honore, B. E. (1992). Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects. Econometrica. https://doi.org/10.2307/2951583
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