Chen, Songnian; Khan, Shakeeb - In: Econometric Theory 24 (2008) 05, pp. 1149-1173
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....