Modified maximum likelihood estimation of tobit models with fixed effects: theory and an application to earnings equations
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| Format: | Artículo científico |
| Language: | en |
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Fundación SEPI
2005
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| _version_ | 1876434040842616832 |
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| author | Gabriel Jiménez Zambrano |
| author_facet | Gabriel Jiménez Zambrano |
| contents | Modified maximum likelihood estimation of tobit models with fixed effects: theory and an application to earnings equations Gabriel Jiménez Zambrano Economía y Finanzas panel data tobit model Orthogonal parameters modified profile likelihood This paper starts from the orthogonalization method proposed by Cox and Reidwhich is applied to the Tobit model panel for data with fixed e��ects. Neymanand Scott showed that, generally, the maximum likelihood estimator is inconsistent(the incidental parameter problem). The methodology explained hererecovers the use of the log-likelihood function to solve this problem taking advantageof the time-series dimension of panel data. For the Tobit model weshow when is it possible to recover the orthogonal parameters, and study thecharacteristics of the estimators obtained with simulation methods. Also, anillustration for earnings equations has been performed. 2005 artículo científico 0210-1521 https://www.redalyc.org/articulo.oa?id=17329305 en http://www.redalyc.org/revista.oa?id=173 Investigaciones Económicas application/pdf Fundación SEPI Investigaciones Económicas (España) Num.3 Vol.XXIX |
| format | Artículo científico |
| id | redalyc_17329305 |
| institution | Redalyc |
| language | en |
| publishDate | 2005 |
| publisher | Fundación SEPI |
| spellingShingle | Modified maximum likelihood estimation of tobit models with fixed effects: theory and an application to earnings equations Gabriel Jiménez Zambrano Economía y Finanzas panel data tobit model Orthogonal parameters modified profile likelihood Modified maximum likelihood estimation of tobit models with fixed effects: theory and an application to earnings equations Gabriel Jiménez Zambrano Economía y Finanzas panel data tobit model Orthogonal parameters modified profile likelihood This paper starts from the orthogonalization method proposed by Cox and Reidwhich is applied to the Tobit model panel for data with fixed e��ects. Neymanand Scott showed that, generally, the maximum likelihood estimator is inconsistent(the incidental parameter problem). The methodology explained hererecovers the use of the log-likelihood function to solve this problem taking advantageof the time-series dimension of panel data. For the Tobit model weshow when is it possible to recover the orthogonal parameters, and study thecharacteristics of the estimators obtained with simulation methods. Also, anillustration for earnings equations has been performed. 2005 artículo científico 0210-1521 https://www.redalyc.org/articulo.oa?id=17329305 en http://www.redalyc.org/revista.oa?id=173 Investigaciones Económicas application/pdf Fundación SEPI Investigaciones Económicas (España) Num.3 Vol.XXIX |
| title | Modified maximum likelihood estimation of tobit models with fixed effects: theory and an application to earnings equations |
| topic | Economía y Finanzas panel data tobit model Orthogonal parameters modified profile likelihood |
| url | https://www.redalyc.org/articulo.oa?id=17329305 |