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

A.S. Kalwij

    Research output: Working paperDiscussion paperOther research output

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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

    Fingerprint

    Maximum likelihood estimator
    Tobit model
    Panel data
    Minimum distance
    Maximum likelihood
    Estimator
    Serial correlation

    Cite this

    Kalwij, A. S. (2000). A Maximum Likelihood Estimator based on First Differences for a Panel Data Tobit Model with Individual Specific Effects. (CentER Discussion Paper; Vol. 2000-28). Tilburg: Econometrics.
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    Kalwij, AS 2000 'A Maximum Likelihood Estimator based on First Differences for a Panel Data Tobit Model with Individual Specific Effects' CentER Discussion Paper, vol. 2000-28, Econometrics, Tilburg.

    A Maximum Likelihood Estimator based on First Differences for a Panel Data Tobit Model with Individual Specific Effects. / Kalwij, A.S.

    Tilburg : Econometrics, 2000. (CentER Discussion Paper; Vol. 2000-28).

    Research output: Working paperDiscussion paperOther research output

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