Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
针对固定效应截断和删失回归模型，提出了修剪最小绝对偏差和修剪最小二乘估计量，证明了其在面板长度为2时的一致性和渐近正态性，无需误差项参数假设，蒙特卡洛模拟显示小样本表现良好。
This paper considers estimation of truncated.and censored regression models with fixed effects. Up until now, no estimator has been shown to be consistent as the cross-section dimension increases with the time dimension fixed. Trimmed least absolute deviations and trimmed least squares estimators are proposed for the case where the panel is of length two, and it is proven that they are consistent and asymptotically normal. It is not necessary to maintain parametric assumptions on the error terms to obtain this result. A small scale Monte Carlo study demonstrates that these estimators can perform well in small samples. Copyright 1992 by The Econometric Society.