A two-step first-difference estimator for a panel data Tobit model

Open Access
Authors
  • A.S. Kalwij
Publication date 2004
Series AIAS working paper, 2003-21
Number of pages 17
Publisher Amsterdam Institute for Advanced Labour Studies, Universiteit van Amsterdam
Organisations
  • Faculty of Law (FdR) - Amsterdam Institute for Advanced Labour Studies (AIAS)
Abstract This study formulates an easy-to-use two-step first-difference estimator for a panel data Tobit model. In the first step a bivariate Probit is estimated, using all observations. These estimates are used to construct correction terms that are added to the first-difference equation. This equation is estimated by Least Squares on a sub-sample of observations for which the dependent variable is positive in both periods. Most of this study is concerned with the derivation of the corrections terms.
Document type Working paper
Note February 2004
Language English
Published at http://www.uva-aias.net/publications/show/1064
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283434.pdf (Submitted manuscript)
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