Derives corrected asymptotic variances for TLS and TLAD in censored panel models with fixed effects, relaxes some conditions for TLS, adds missing terms for TLAD, and provides consistent variance estimators including a bootstrap.
The GLDCT (Theorem S2.1) therefore shows thatfis integrable and R fm dλ→ R fdλ, the latter convergence meaning that Mb(t+τ m,w)−M b(t,w) τm → Z R 1{y∗ 2 ⩽0}1{t⩾0}f Y ∗|w(t, y∗
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Asymptotic Variance Theory for Trimmed Least Squares and Trimmed Least Absolute Deviations in Censored Panel Models with Fixed Effects
Derives corrected asymptotic variances for TLS and TLAD in censored panel models with fixed effects, relaxes some conditions for TLS, adds missing terms for TLAD, and provides consistent variance estimators including a bootstrap.