IV Estimation of Panel Data Tobit Models with Normal Errors

TL;DR

This paper extends Amemiya's initial estimator approach to fixed-effects panel data Tobit models with normal errors, enabling new estimation methods for previously unaddressed models.

Contribution

It introduces a novel estimation approach for fixed-effects Tobit models with normal errors, expanding the scope of models that can be consistently estimated.

Findings

Proposes a new estimator based on moment conditions for fixed-effects Tobit models.

Demonstrates the estimator's consistency and applicability to previously unconsidered models.

Extends Amemiya's initial estimator framework to a broader class of censored regression models.

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.