### Abstract

Original language | English |
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Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 19 |

Volume | 2004-67 |

Publication status | Published - 2004 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 2004-67 |

### Fingerprint

### Keywords

- panel data
- estimating
- monte carlo technique

### Cite this

*A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions*. (CentER Discussion Paper; Vol. 2004-67). Tilburg: Econometrics.

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**A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions.** / Kalwij, A.S.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions

AU - Kalwij, A.S.

N1 - Pagination: 19

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

KW - panel data

KW - estimating

KW - monte carlo technique

M3 - Discussion paper

VL - 2004-67

T3 - CentER Discussion Paper

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

PB - Econometrics

CY - Tilburg

ER -