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A Maximum Likelihood Estimator based on First Differences for a Panel Data Tobit Model with Individual Specific Effects

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  • Kalwij, A.S.

    (Tilburg University, Center for Economic Research)

Abstract

This 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 Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2000-28.

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Date of creation: 2000
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Handle: RePEc:dgr:kubcen:200028

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References

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  1. Wooldridge, Jeffrey M., 1995. "Selection corrections for panel data models under conditional mean independence assumptions," Journal of Econometrics, Elsevier, vol. 68(1), pages 115-132, July.
  2. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
  3. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
  4. Nijman, T.E. & Verbeek, M.J.C.M., 1992. "Non-response in panel data: The impact on estimates of a life cycle consumption function," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153282, Tilburg University.
  5. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
  6. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
  7. Zabel, Jeffrey E., 1992. "Estimating fixed and random effects models with selectivity," Economics Letters, Elsevier, vol. 40(3), pages 269-272, November.
  8. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
  9. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
  10. Campbell, Jeffrey R. & Honoré, Bo E., 1993. "Median Unbiasedness of Estimators of Panel Data Censored Regression Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 499-503, June.
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Citations

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Cited by:
  1. Mary Gregory & Adriaan S. Kalwij, 2000. "Overtime Hours in Great Britain Over the Period 1975-1999: A Panel Data Analysis," Economics Series Working Papers 27, University of Oxford, Department of Economics.
  2. Adriaan Kalwij, 2004. "WP 21 - A two-step first-difference estimator for a panel data tobit model," AIAS Working Papers wp21, AIAS, Amsterdam Institute for Advanced Labour Studies.
  3. Bjornsen, Hild-Marte & Mishra, Ashok K., 2012. "Off-farm Employment and Farming Efficiency in Modern Agriculture: A Dynamic Panel Analysis," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124742, Agricultural and Applied Economics Association.
  4. Boryana Madzharova, 2012. "Intertemporal Income Shifting in Expectation of Lower Corporate Tax Rates: The Tax Reforms in Central and Eastern Europe," CERGE-EI Working Papers wp462, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  5. Pierre Koning & Daniel van Vuuren, 2006. "Hidden unemployment in disability insurance in the Netherlands; an empirical analysis based on employer data," CPB Discussion Paper 69, CPB Netherlands Bureau for Economic Policy Analysis.
  6. Kalwij, A.S., 2004. "A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions," Discussion Paper 2004-67, Tilburg University, Center for Economic Research.

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