IV Estimation of Panel Data Tobit Models with Normal Errors

Author:

Bo E. Honore

Keyword:

Economics, Econometrics, Econometrics (econ.EM)

journal:

date:

2024-01-09 00:00:00

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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