Abstract :
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+ Empirically, estimation of
this model would be of interest to explore how returns to unobserved skills change
over time—see, e+g+, Chay ~1995, manuscript, Princeton University! and Chay
and Honoré ~1998, Journal of Human Resources 33, 4–38!+ We adopt a two-stage
procedure based on nonparametric median regression, and the proposed estimator
is shown to be Mn-consistent and asymptotically normal+ The estimation procedure
is also useful in the group effect setting, where estimation of the factor load
would be empirically relevant in the study of the intergenerational correlation in
income, explored in Solon ~1992, American Economic Review 82, 393– 408;
1999, Handbook of Labor Economics, vol+ 3, 1761–1800! and Zimmerman ~1992,
American Economic Review 82, 409– 429!+
