IV Estimation of Panel Data Tobit Models with Normal Errors

2024/01/09 by Honore, Bo E. · 1 citation
#Econometrics (econ.EM) #FOS: Economics and business

paper · doi:10.48550/arxiv.2401.04803

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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