Show simple item record Chen, S Khan, S 2010-06-28T18:50:06Z 2008-10-01
dc.identifier.citation Econometric Theory, 2008, 24 (5), pp. 1149 - 1173
dc.identifier.issn 0266-4666
dc.description.abstract 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 Honoré (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 √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). © 2008 Cambridge University Press.
dc.format.extent 1149 - 1173
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Econometric Theory
dc.relation.isversionof 10.1017/S0266466608080468
dc.title Semiparametric estimation of nonstationary censored panel data models with time varying factor loads
dc.type Journal Article
dc.department Economics
pubs.issue 5
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 24
dc.identifier.eissn 1469-4360

Files in this item

This item appears in the following Collection(s)

Show simple item record