Asymptotic Variance Theory for Trimmed Least Squares and Trimmed Least Absolute Deviations in Censored Panel Models with Fixed Effects
固定效应删失面板模型中修剪最小二乘与最小绝对偏差的渐近方差
We study inference using trimmed least squares (TLS) and trimmed least absolute deviations (TLAD) estimators of \citet{honore_trimmed_1992} in censored two-period panel-data models with fixed effects. We show that the published asymptotic variance formulas rely on additional regularity conditions that are not fully stated in the original analysis. For TLS, the published Hessian formula requires that the regressor-difference index vanish only when the regressor difference…