Consistent Standard Errors in Panel Tobit with Autocorrelation
12 Pages Posted: 4 Sep 2003
Date Written: August 2003
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: Suggested Citation