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Estimation of a censored regression panel data model using conditional moment restrictions efficiently

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  • Charlier, Erwin
  • Melenberg, Bertrand
  • van Soest, Arthur

Abstract

A new semiparametric estimator for the censored regression panel data model with fixed effects is introduced. It is based upon an estimator proposed by Honore for the case of two time periods combined with ideas of Newey to improve the efficiency. The estimator is more efficient than Honore'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 Honore's estimator in a first step, efficient GMM using conditional moment restrictions is applied. The performance of this estimator is compared to that of Honore'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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 95 (2000)
Issue (Month): 1 (March)
Pages: 25-56

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Handle: RePEc:eee:econom:v:95:y:2000:i:1:p:25-56

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Web page: http://www.elsevier.com/locate/jeconom

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Citations

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Cited by:
  1. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.
  2. Stefan Hochguertel & Henry Ohlsson, 2007. "Compensatory Inter Vivos Gifts," Tinbergen Institute Discussion Papers 07-074/3, Tinbergen Institute.
  3. Matteo PICCHIO & Jan C. VAN OURS, 2010. "Market imperfections and firm-sponsored training," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2010026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  4. Stefan Hochguertal & Henry Ohlsson, 2000. "Inter Vivos Gifts: Compensatory or Equal Sharing?," Econometric Society World Congress 2000 Contributed Papers 0699, Econometric Society.
  5. 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.
  6. Hochgürtel, S., 1997. "Precautionary Motives and Portfolio Decisions," Discussion Paper 1997-55, Tilburg University, Center for Economic Research.
  7. Schmit, Todd M. & Dong, Diansheng & Chung, Chanjin & Kaiser, Harry M. & Gould, Brian W., 2002. "Identifying The Effects Of Generic Advertising On The Household Demand For Fluid Milk And Cheese: A Two-Step Panel Data Approach," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(01), July.

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