This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell (1986) the estimation strategy is based on moment conditions constructed from re-censored or re-truncated residuals. While these...

A measurement error model is a regression model with (substantial) measurement errors in the variables. Disregarding these measurement errors in estimating the regression parameters results in asymptotically biased estimators. Several methods have been proposed to eliminate, or at least to...

The least squares estimator is probably the most frequently used estimation method in regression analysis. Unfortunately, it is also quite sensitive to data contamination and model misspecification. Although there are several robust estimators designed for parametric regression models that can...

High breakdown-point regression estimators protect against large errors and data contamination. We generalize the concept of trimming used by many of these robust estimators, such as the least trimmed squares and maximum trimmed likelihood, and propose a general trimmed estimator, which renders...

In the paper is considered identification of coefficients in equations explaining a continuous variable, say the number of sickness absence days of an individual per year, by cohort, time and age, subject to their definitional identity. Extensions of a linear equation to polynomials, including...

Identification of equations explaining a continuous variable, e.g., the length of sickness absence spells, by age, cohort and time (ACT), subject to their definitional identity is reconsidered. Various extensions of a linear equation to polynomials are explored. If no interactions between the...

This paper studies the determinants of inflation expectations and credibility in the European Central Bank (ECB) during the first decade of European monetary policy. As a measure of credibility we use the gap between the professional economists' inflation forecasts and the ECB's inflation...

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the √N-rate. We...

The Environmental Kuznets Curve (EKC) introduces an inverted U-shaped relationship between environmental pollution and economic development. The inverted U-shaped curve is seen as complete pattern for developed economies. However, our study tests the EKC for developing transition economies of...

This study tests for the state-dependent response of monetary policy to increases in overall financial stress and financial sector-specific stress across a panel of advanced and emerging economy central banks. We use a factor-augmented dynamic panel threshold regression model with (estimated)...