Jason Abrevaya
Shu Shen

estimation of censored panel-data models with slope heterogeneity (replication data)

This paper considers estimation of censored panel-data models with individual-specific slope heterogeneity. The slope heterogeneity may be random (random slopes model) or related to covariates (correlated random slopes model). Maximum likelihood and censored least-absolute deviations estimators are proposed for both models. The estimators are simple to implement and, in the case of maximum likelihood, lead to straightforward estimation of partial effects. The rescaled bootstrap suggested by Andrews (Econometrica 2000; 68: 399-405) is used to deal with the possibility of variance parameters being equal to zero. The methodology is applied to an empirical study of Dutch household portfolio choice, where the outcome variable (portfolio share in safe assets) has corner solutions at zero and one. As predicted by economic theory, there is strong evidence of correlated random slopes for the age profiles, indicating a heterogeneous age profile of portfolio adjustment that varies significantly with other household characteristics.

Data and Resources

Suggested Citation

Abrevaya, Jason; Shen, Shu (2014): ESTIMATION OF CENSORED PANEL-DATA MODELS WITH SLOPE HETEROGENEITY (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0714580725