Modified maximum likelihood estimation of Tobit models with fixed effects: theory and an application to earnings equations
AbstractThis paper starts from the orthogonalization method proposed by Cox and Reid which is aplied to the Tobit model panel for data with fixed effects. Neyman and Scott showed that, generally, the maximum likelihood estimator is inconsistent (the incidental parameter problem). The methodology explained here recovers the use of the log-likelihood function to solve this problem taking advantage of the time-series dimension of panel data. For the Tobit model we show when is it possible to recover the orthogonal parameters, and study the characteristics of the estimators obtained with simulation methods. Also, an illustration for earnings equations has been performed.
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Bibliographic InfoArticle provided by Fundación SEPI in its journal Investigaciones Economicas.
Volume (Year): 29 (2005)
Issue (Month): 3 (September)
Contact details of provider:
Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
Web page: http://www.fundacionsepi.es/
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Arellano, M. & Honore, B., 2000.
"Panel Data Models: Some Recent Developments,"
0016, Centro de Estudios Monetarios Y Financieros-.
- Arellano, M., 2001.
"Discrete Choices with Panel Data,"
0101, Centro de Estudios Monetarios Y Financieros-.
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