A maximum likelihood estimator based on first differences for a panel data Tobit model with individual specific effects
AbstractThis paper proposes an alternative estimation procedure for a panel data Tobit model with individual specific effects based on taking first differences of the equation of interest. This helps to alleviate the sensitivity of the estimates to a specific parameterization of the individual specific effects and some Monte Carlo evidence is provided in support of this. To allow for arbitrary serial correlation estimation takes place in two steps: Maximum Likelihood is applied to each pair of consecutive periods and then a Minimum Distance estimator is employed.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 81 (2003)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Kalwij, A.S., 2000. "A Maximum Likelihood Estimator based on First Differences for a Panel Data Tobit Model with Individual Specific Effects," Discussion Paper 2000-28, Tilburg University, Center for Economic Research.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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