Asymptotic Variance Theory for Trimmed Least Squares and Trimmed Least Absolute Deviations in Censored Panel Models with Fixed Effects (opens in new tab)

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 whe...