Denis Chetverikov, Jesper R. -V. ~Sørensen, Bo Honoré
arXiv 16 May 2026 · Econometrics
arXiv:2605.17052 · PDF · DOI · OpenAlex · Extracted main text
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 itself is zero, a restriction not explicitly stated in the original paper and violated, for instance, with a zero parameter vector. We derive the correct Hessian, establish asymptotic normality without imposing this restriction, and obtain a consistent plug-in variance estimator. We also show that the Hessian estimator proposed in \citet{honore_trimmed_1992} {\em is} actually consistent for the {\em correct} TLS asymptotic variance. For TLAD, we show that the published variance formula omits a conditional-probability term and that asymptotic normality requires additional continuity conditions. Under these conditions, we derive the corrected asymptotic variance and provide a tuning-parameter-free bootstrap variance estimator.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Honoré, B. E. and J. L. Powell (1994) Pairwise difference estimators of censored and truncated regression models | 1.000 | 8 | 3 | 100% |
| 2 | Honoré, B. E (1992) Trimmed LAD and least squares estimation of truncated and censored regression models with fixed effects | 0.912 | 58 | 6 | 76% |
| 3 | Powell, J. L (1984) Least absolute deviations estimation for the censored regression model | 0.644 | 4 | 1 | 100% |
| 4 | Arellano, M. and B. Honoré (2001) Panel data models: some recent developments, in | 0.585 | 3 | 1 | 100% |
| 5 | Powell, J. L (1986) Symmetrically trimmed least squares estimation for Tobit models | 0.585 | 3 | 1 | 100% |
| 6 | Bertsekas, D. P (1973) Stochastic optimization problems with nondifferentiable cost functionals | 0.511 | 2 | 2 | 50% |
| 7 | Honoré, B. and L. Hu (2017) Poor (wo)man's bootstrap | 0.511 | 2 | 1 | 100% |
| 8 | Cattaneo, M. D., M. Jansson, and K. Nagasawa (2025) Robust Inference for Convex Pairwise Difference Estimators | 0.511 | 2 | 1 | 100% |
| 9 | Honore, B. E. and E. Kyriazidou (2000) Estimation of Tobit-type models with individual specific effects | 0.511 | 2 | 1 | 100% |
| 10 | Bickel, P. and D. Freedman (1981) Some asymptotic theory for the bootstrap | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.