First-difference estimator for panel censored-selection models

Myoung Jae Lee

doi:10.1016/S0165-1765(00)00350-5

First-difference estimator for panel censored-selection models

Myoung Jae Lee

Research output: Journal Publication › Article › peer-review

11 Citations (Scopus)

Abstract

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 Wooldridge (Journal of Econometrics 68 (1995) 115) and Honoré and Kyriazidou (Econometric Reviews (2000)).

Original language	English
Pages (from-to)	43-49
Number of pages	7
Journal	Economics Letters
Volume	70
Issue number	1
DOIs	https://doi.org/10.1016/S0165-1765(00)00350-5
Publication status	Published - Jan 2001
Externally published	Yes

Keywords

C24
C34
Censored model
Panel data
Related-effect
Sample selection

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/S0165-1765(00)00350-5

Cite this

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abstract = "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 Wooldridge (Journal of Econometrics 68 (1995) 115) and Honor{\'e} and Kyriazidou (Econometric Reviews (2000)).",

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AB - 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 Wooldridge (Journal of Econometrics 68 (1995) 115) and Honoré and Kyriazidou (Econometric Reviews (2000)).

KW - C24

KW - C34

KW - Censored model

KW - Panel data

KW - Related-effect

KW - Sample selection

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U2 - 10.1016/S0165-1765(00)00350-5

DO - 10.1016/S0165-1765(00)00350-5

M3 - Article

AN - SCOPUS:0035545505

SN - 0165-1765

VL - 70

SP - 43

EP - 49

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

First-difference estimator for panel censored-selection models

Abstract

Keywords

ASJC Scopus subject areas

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