Abstract
This paper proposes a new estimator for a panel data Tobit model in which the unobserved individual specific effects are allowed to correlate with the explanatory variables. A maximum likelihood estimator is 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.
| Original language | English |
|---|---|
| Pages (from-to) | 165-172 |
| Number of pages | 8 |
| Journal | Economics Letters |
| Volume | 81 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Nov 2003 |
| Externally published | Yes |
Funding
I would like to thank Mary Gregory, Maria Rochina-Barrachina, Jeff Wooldridge, seminar participants at the 9th International Conference on Panel Data and an anonymous referee for very helpful comments. Financial support from the Leverhulme Trust project “The labour market consequences of technical and structural change” and the Spanish DGES (PB98-0979) are gratefully acknowledged. Appendix A
Keywords
- Panel data
- Tobit model
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