A two-step first-difference estimator for a panel data Tobit model
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| Publication date | 2004 |
| Series | AIAS working paper, 2003-21 |
| Number of pages | 17 |
| Publisher | Amsterdam Institute for Advanced Labour Studies, Universiteit van Amsterdam |
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| 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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