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Estimation of tobit-type models with individual specific effects

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  • Bo Honore
  • Ekaterini Kyriazidou
  • J. L. Powell
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    Abstract

    The aim of this paper is two-fold. First, we review recent estimators for censored regression and sample selection panel data models with unobservable individual specific effects, and show how the idea behind these estimators can be used to construct estimators for a variety of other Tobit-type models. The estimators presented in this paper are semiparametric, in the sense that they do not require the parametrization of the distribution of the unobservables. The second aim of the paper is to introduce a new class of estimators for the censored regression model. The advantage of the new estimators is that they can be applied under a stationarity assumption on the transitory error terms, which is weaker than the exchangeability assumption that is usually made in this literature. A similar generalization does not seem feasible for the estimators of the other models that are considered.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 19 (2000)
    Issue (Month): 3 ()
    Pages: 341-366

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    Handle: RePEc:taf:emetrv:v:19:y:2000:i:3:p:341-366

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    Cited by:
    1. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Hannover Economic Papers (HEP) dp-319, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Mohnen, Pierre & Raymond, Wladimir & Palm, Franz & Schim van der Loeff, Sybrand, 2007. "The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models," MERIT Working Papers 007, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    3. Maria Laura Parisi & Alessandro Sembenelli, 2001. "Is Private R&D Spending Sensitive to Its Price? Empirical Evidence on Panel Data for Italy," Boston College Working Papers in Economics 493, Boston College Department of Economics.
    4. Michael R. Carter & Pedro Olinto, 2003. "Getting Institutions “Right” for Whom? Credit Constraints and the Impact of Property Rights on the Quantity and Composition of Investment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(1), pages 173-186.
    5. Lisa Farrell & Paul Frijters & Michael A. Shields, 2002. "The Economic Motives for Child Allowances: Altruism, Exchange or Value of Independence?," Discussion Papers Series 446, School of Economics, University of Queensland, Australia.
    6. Olaf Hübler, 2006. "Multilevel and nonlinear panel data models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 121-136, March.
    7. Mathieu Bunel, 2012. "Evaluer un dispositif sectoriel d'aide à l'emploi : L'exemple des hôtels cafés restaurants de 2004 à 2009," Working Papers halshs-00736693, HAL.
    8. Anna Cristina D'Addio & Bo E. Honoré, 2002. "Duration dependence and time varying variables in discrete time duration models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-3, International Conferences on Panel Data.
    9. Hongfei Zhu, 2009. "The Relationship Between Investment and Fund Raising: An Empirical study to Japanese Manufacturing Firms," Economics Bulletin, AccessEcon, vol. 29(1), pages 357-367.
    10. Lee, Myoung-jae, 2001. "First-difference estimator for panel censored-selection models," Economics Letters, Elsevier, vol. 70(1), pages 43-49, January.
    11. Rettenmaier, Andrew J. & Wang, Zijun, 2006. "Persistence in Medicare reimbursements and personal medical accounts," Journal of Health Economics, Elsevier, vol. 25(1), pages 39-57, January.
    12. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.
    13. Lee, Myoung-jae & Cho, Myeong-hyeon, 2002. "Validity of LSE for trimmed and differenced panel data due to absorbing attrition," Economics Letters, Elsevier, vol. 74(2), pages 251-256, January.
    14. Mathieu Bunel, 2012. "Évaluer un dispositif sectoriel d'aide à l'emploi : l'exemple des hôtels, cafés et restaurants de 2004 à 2009," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201223, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.

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