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

A.S. Kalwij

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    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.
    Original languageEnglish
    Place of PublicationTilburg
    PublisherEconometrics
    Number of pages12
    Volume2000-28
    Publication statusPublished - 2000

    Publication series

    NameCentER Discussion Paper
    Volume2000-28

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