In a binary choice panel data model with individual effects and two time periods, Manski proposed the maximum score estimator based on a discontinuous objective function and proved its consistency under weak distributional assumptions. The rate of convergence is low (N1/3) and its limit distribution cannot easily be used for statistical inference. In this paper we apply the idea of Horowitz to smooth Manski's objective function. The resulting smoothed maximum score estimator is consistent and asymptotically normal with a rate of convergence that can be made arbitrarily close to N1/2, depending on the strength of the smoothness assumptions imposed. The estimator can be applied to panels with more than two time periods and to unbalanced panels. We apply the estimator to analyze labour force participation of married Dutch females.

In this paper we model expenditure on housing for owners and renters by means of endogenous switching regression models for panel data. We explain the share of housing in total expenditure from a household specific effect, family characteristics and total expenditure, where the latter is allowed to be endogenous. We consider both random and fixed effects panel data models. We compare estimates for the random effects model with estimates for the linear panel data model in which selection only enters through the fixed effects and with estimates allowing for fixed effects and a more general type of selectivity. Differences appear to be substantial. The results imply that the random effects model as well as the linear panel data model are too restrictive.

Equivalence scales provide answers to questions like how much a household with two children needs to spend compared to a couple to attain the same welfare level. These are important questions for child allowances, social benefits and to assess the cost of children over the life-cycle for example. We discuss equivalence scales in an intertemporal setting with uncertainty. To estimate equivalence scales we use a panel from German households (GSOEP) containing subjective data on satisfaction with life and satisfaction with income to represent the welfare level. Because satisfaction is measured on a discrete scale we use limited dependent variable models for panel data in estimation. Using satisfaction with life data we find that larger households do not need any additional income to be as satisfied as a couple. Using satisfaction with income, however, yields equivalence scales that increase with household size.

The booming Dutch mortgage market and the development of a promising secondary mortgage market in the Netherlands stress the need for an accurate mortgage prepayment model that incorporates typical Dutch market and contract characteristics. One of those typical Dutch features prescribes that each calendar year the mortgagor is allowed to prepay penalty-free 10 to 20 percent of the original loan amount. As a consequence, Dutch mortgagees suffer a loss when borrowers prepay their loans. This risk, once again, underlines the importance of a prepayment model that focuses on the Dutch market. To derive such model we use historical data on mortgages originated between January 1989 and June 1999. We estimate separate models for two popular redemption types: savings mortgages and interestonly mortgages. In both models we allow for suboptimal prepayment behaviour. The results clearly indicate that prepayment rates depend on interest rates and the age of the mortgage contract. Moreover, Dutch prepayment rates peak in the month December.

A new semiparametric estimator for the censored regression panel data model with fixed effects is introduced. It is based upon an estimator proposed by Honoré for the case of two time periods combined with ideas of Newey to improve the efficiency. The estimator is more efficient than Honoré's and is generalized to the case of a balanced or unbalanced panel of more than two waves. Estimation is performed in two steps. Using Honoré's estimator in a first step, efficient GMM using conditional moment restrictions is applied. The performance of this estimator is compared to that of Honoré's and other existing estimators in an empirical example concerning labour income of married females, using panel data from the Dutch Socio-Economic Panel, 1984-1988. Attention is paid to specification testing and the sensitivity of the results for the choice of smoothness parameters.