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IV Estimation of Panel Data Tobit Models with Normal Errors

Bo E. Honore

arXiv 9 Jan 2024 · Econometrics · 1 citations (OpenAlex)

arXiv:2401.04803 · PDF · DOI · OpenAlex · Extracted main text

Abstract

Amemiya (1973) proposed a “consistent initial estimator” for the parameters in a censored regression model with normal errors. This paper demonstrates that a similar approach can be used to construct moment conditions for fixed--effects versions of the model considered by Amemiya. This result suggests estimators for models that have not previously been considered.

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appendix boundary found by appendix_titled_section at “Appendix: Derivation of Proposition 1.1.” · 86% of the source is main text. Read the extracted text to check this.

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