In this paper, we consider estimation of discrete response models exhibiting conditional heteroskedasticity of a multiplicative form, where the latent error term is assumed to be the product of an unknown scale function and a homoskedastic error term. It is first shown that for estimation of the...

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....

Powell's (1984, Journal of Econometrics 25, 303}325) censored least absolute deviations(CLAD) estimator for the censored linear regression model has been regarded asa desirable alternative to maximum likelihood estimation methods due to its robustnessto conditional heteroskedasticity and...