Semiparametric estimation of nonstationary censored panel data models with time varying factor loads

被引:11
作者
Chen, Songnian [1 ,2 ]
Khan, Shakeeb [3 ]
机构
[1] Hong Kong Univ Sci & Technol, Dept Econ, Kowloon, Hong Kong, Peoples R China
[2] Natl Univ Singapore, Singapore 117548, Singapore
[3] Duke Univ, Durham, NC 27706 USA
关键词
D O I
10.1017/S0266466608080468
中图分类号
F [经济];
学科分类号
02 ;
摘要
We propose an estimation procedure for a semiparametric panel data censored regression model in which the error terms may be subject to general forms of nonstationarity. Specifically, we allow for heteroskedasticity over time and a time varying factor load on the individual specific effect. Empirically, estimation of this model would be of interest to explore how returns to unobserved skills change over time-see, e.g., Chay (1995, manuscript, Princeton University) and Chay and Honore (1998, Journal of Human Resources 33, 4-38). We adopt a two-stage procedure based on nonparametric median regression, and the proposed estimator is shown to be root n-consistent and asymptotically normal. The estimation procedure is also useful in the group effect setting, where estimation of the factor load would be empirically relevant in the study of the intergenerational correlation in income, explored in Solon (1992, American Economic Review 82, 393-408; 1999, Handbook of Labor Economics, vol. 3, 1761-1800) and Zimmerman (1992, American Economic Review 82, 409-429).
引用
收藏
页码:1149 / 1173
页数:25
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