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....

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This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based...

Under a quantile restriction, randomly censored regression models can be written in terms of conditional moment inequalities. We study the identified features of these moment inequalities with respect to the regression parameters where we allow for covariate dependent censoring, endogenous...

This paper considers nonparametric identification and estimation of a generalized Roy model that includes a non-pecuniary component of utility associated with each choice alternative. Previous work has found that, without parametric restrictions or the availability of covariates, all of the...

Strategic interaction parameters characterize the impact of actions of one economic agent on the payoff of another economic agent, and are of great interest in both theoretical and empirical work. In this paper, by considering econometric models involving simultaneous discrete systems of...

In this paper a pairwise comparison estimation procedure is proposed for the regression coefficients in a censored transformation model. The main advantage of the new estimator is that it can accommodate covariate dependent censoring without the requirement of smoothing parameters, trimming...