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A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions

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  • Kalwij, A.S.

    (Tilburg University, Center for Economic Research)

Abstract

This study develops a two-step estimator for a panel data Tobit model based on taking first-differences of the equation of interest, under conditional mean independence assumptions.The necessary correction terms are non-standard and a substantial part is therefore devoted to the formal derivation of these correction terms.The main advantage of this estimator is that it yields estimates that are far less sensitivity to misspecification of the conditional mean independence assumption than an estimation procedure set up in levels.Monte Carlo simulations are provided in support of this.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2004-67.

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Date of creation: 2004
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Handle: RePEc:dgr:kubcen:200467

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Keywords: panel data; estimating; monte carlo technique;

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  1. Nijman, Theo & Verbeek, Marno, 1992. "Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 243-57, July-Sept.
  2. 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.
  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. Adriaan S. Kalwij & Mary Gregory, 2005. "A panel data analysis of the effects of wages, standard hours and unionization on paid overtime work in Britain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(1), pages 207-231.
  5. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
  6. 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.
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