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A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models

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  • Chang Sheng-Kai

    (National Taiwan University)

Abstract

In this paper, a computationally robust simulation estimator is proposed for the dynamic panel Tobit model with large categories of dependence structures. The maximum simulated likelihood estimators are obtained through a recursive algorithm formulated by Geweke-Hajivassiliou-Keane and Gibbs sampling simulators. Monte Carlo experiments indicate that the proposed robust simulation estimators perform well under the errors having a heavy-tailed distribution, even for a small simulation size. The initial conditions problem is also investigated for the robust simulation estimators through Monte Carlo experiments.

Suggested Citation

  • Chang Sheng-Kai, 2011. "A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-21, September.
    • Handle: RePEc:bpj:sndecm:v:15:y:2011:i:4:n:3
    DOI: 10.2202/1558-3708.1832
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    References listed on IDEAS

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    1. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
    2. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    3. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    4. Geweke, John & Keane, Michael, 2000. "An empirical analysis of earnings dynamics among men in the PSID: 1968-1989," Journal of Econometrics, Elsevier, vol. 96(2), pages 293-356, June.
    5. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
    6. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
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