IV Estimation of Panel Data Tobit Models with Normal Errors

Bo E. Honore

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arXiv · 2401.04803

IV Estimation of Panel Data Tobit Models with Normal Errors

Bo E. Honore

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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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Bo E. Honore. 2024-01-09. IV Estimation of Panel Data Tobit Models with Normal Errors. https://arxiv.org/abs/2401.04803

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