First-difference estimator for panel censored-selection models.

DOI10.1016/S0165-1765(00)00350-5MaRDI QIDQ1589600zbMATH OpenFDO

Authors R. Smith

Publication date 12 December 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(00)00350-5

zbMATH Keywords

Censored modelPanel dataRelated-effectSample selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

We propose a semiparametric first-difference estimator for panel censored-selection models where the selection equation is of tobit type. The estimator allows the unit-specific term to be arbitrarily related to regressors. The estimator minimizes a convex function and does not require any smoothing. A simulation study is provided comparing our proposal with the estimators of \textit{J. M. Wooldridge} [J. Econom. 68, 115--132 (1995; Zbl 0831.62097)] and \textit{B. E. Honoré} and \textit{E. Kyriazidou} [Econ. Rev. 19, 341--366 (2000; Zbl 0953.62124)].

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Cites work

• A Root- N Consistent Semiparametric Estimator for Related-effect Binary Response Panel Data
• Estimation of a fixed effects bivariate censored regression model
• Estimation of tobit-type models with individual specific effects
• Sample Selection Bias as a Specification Error
• Selection corrections for panel data models under conditional mean independence assumptions
• Testing for Selectivity Bias in Panel Data Models
• Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects

Cited in

(8)

• A maximum likelihood estimator based on first differences for a panel data Tobit model with individual specific effects
• Factors affecting economic output in developed countries: a copula approach to sample selection with panel data
• An alternative root-\(n\) consistent estimator for panel data binary choice models
• Estimation of a Censored Dynamic Panel Data Model
• Validity of LSE for trimmed and differenced panel data due to absorbing attrition
• Two tests for strict exogeneity in a correlated random effects panel data Tobit model
• Spatial differencing for sample selection models with `site-specific' unobserved local effects
• Unbalanced panel data: a survey

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