IV Estimation of Panel Data Tobit Models with Normal Errors
Econometrics
2024-01-11 v1
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.
Cite
@article{arxiv.2401.04803,
title = {IV Estimation of Panel Data Tobit Models with Normal Errors},
author = {Bo E. Honore},
journal= {arXiv preprint arXiv:2401.04803},
year = {2024}
}
Comments
This is a very old unpublished draft that is relevant for the recent literature that constructs moment conditions in nonlinear panel data models