A Maximum Likelyhood Estimator Based on First Difference for a Panel Data Tobit Model with Individual Specific Effects
CentER Discussion Paper No. 28
12 Pages Posted: 8 Dec 2000
Date Written: March 2000
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.
JEL Classification: C23
Suggested Citation: Suggested Citation