Consistent Standard Errors in Panel Tobit with Autocorrelation

12 Pages Posted: 4 Sep 2003

See all articles by Andrew B. Bernard

Andrew B. Bernard

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Meghan R. Busse

University of California, Berkeley - Haas School of Business

Date Written: August 2003

Abstract

This paper derives consistent standard errors for a panel Tobit model in the presence of correlated errors. The problem is framed in the context of Newey and West (1987), considering the Tobit model as a special case of a GMM estimator.

JEL Classification: C23, C24

Suggested Citation

Bernard, Andrew B. and Busse, Meghan R., Consistent Standard Errors in Panel Tobit with Autocorrelation (August 2003). Available at SSRN: https://ssrn.com/abstract=439061 or http://dx.doi.org/10.2139/ssrn.439061

Andrew B. Bernard (Contact Author)

Dartmouth College - Tuck School of Business ( email )

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HOME PAGE: http://mba.tuck.dartmouth.edu/pages/faculty/Andrew.Bernard/

National Bureau of Economic Research (NBER)

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Centre for Economic Policy Research (CEPR) ( email )

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Meghan R. Busse

University of California, Berkeley - Haas School of Business ( email )

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Berkeley, CA 94720-1900
United States
510-642-9489 (Phone)
510-643-5180 (Fax)

HOME PAGE: http://faculty.haas.berkeley.edu/meghan/index.html

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