Estimation of panel data partly specified Tobit regression with fixed effects

Chunrong Ai, Hongjun Li (), Zhongjian Lin and Meixia Meng

Journal of Econometrics, 2015, vol. 188, issue 2, 316-326

Abstract: This paper presents an estimation of a partly specified Tobit model with fixed effects by extending the symmetric trimming procedure proposed in Honoré (1992). Under some sufficient conditions, we present conditions to identify both the parametric and the nonparametric component of the unknown parameter. Under some sufficient conditions, we establish that the proposed estimates are consistent and the estimates of the parametric component are asymptotically normally consistent. Finally, we present some consistent covariance matrix for the estimates of the parametric component.

Keywords: Fixed effects; Panel data; Sieve estimation; Symmetrical trimming; Convergence rate (search for similar items in EconPapers)
JEL-codes: C14 C23 C24 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:2:p:316-326

DOI: 10.1016/j.jeconom.2015.03.002

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