Simulation Estimation of Dynamic Panel Tobit Models
نویسنده
چکیده
In this paper I propose a computationally practical simulation estimator for large categories of the dynamic panel Tobit model with complicated dependence structures. I first apply the sequential decomposition methods introduced by Hendry and Richard (1992) to obtain the tractable simulated log-likelihood function of the dynamic panel Tobit model. I then maximize this log-likelihood function simulated through procedures based on a recursive algorithm formulated by GewekeHajivassiliou-Keane as well as a Gibbs sampling simulator. Monte Carlo experiments indicate that my simulation estimator performs strikingly well, even for a small simulation size. JEL classification: C15; C23; C24.
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