ESTIMATION OF CENSORED PANEL‐DATA MODELS WITH SLOPE HETEROGENEITY
提出了估计个体斜率异质性的删失面板数据模型的方法，包括随机斜率模型和相关随机斜率模型，并应用于荷兰家庭投资组合选择研究，发现年龄对资产配置的影响随家庭特征显著变化。
SUMMARY 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. Copyright © 2013 John Wiley & Sons, Ltd.