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Estimation of panel data partly specified Tobit regression with fixed effects

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  • Ai, Chunrong
  • Li, Hongjun
  • Lin, Zhongjian
  • Meng, Meixia

Abstract

This paper presents an estimation of a partly specified Tobit model with fixed effects by extending the symmetric trimming procedure proposed in Honoré (1992). Under some sufficient conditions, we present conditions to identify both the parametric and the nonparametric component of the unknown parameter. Under some sufficient conditions, we establish that the proposed estimates are consistent and the estimates of the parametric component are asymptotically normally consistent. Finally, we present some consistent covariance matrix for the estimates of the parametric component.

Suggested Citation

  • Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.
    • Handle: RePEc:eee:econom:v:188:y:2015:i:2:p:316-326
    DOI: 10.1016/j.jeconom.2015.03.002
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    References listed on IDEAS

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    9. Chunrong Ai & Meixia Meng, 2011. "A locally linear estimation of regression discontinuity," Frontiers of Economics in China, Springer;Higher Education Press, vol. 6(4), pages 495-506, December.
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    13. Chunrong Ai & Meixia Meng, 2011. "A Locally Linear Estimation of Regression Discontinuity," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 6(4), pages 495-506, December.
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    3. Xu, Bin & Lin, Boqiang, 2016. "Differences in regional emissions in China's transport sector: Determinants and reduction strategies," Energy, Elsevier, vol. 95(C), pages 459-470.

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    More about this item

    Keywords

    Fixed effects; Panel data; Sieve estimation; Symmetrical trimming; Convergence rate;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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