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Consistent Standard Errors in Panel Tobit with Autocorrelation ‡

By Uc Berkeley and Jel Codes C

Abstract

This paper derives consistent standard errors for a panel Tobit model in the presence of correlated errors. The problem is framed in the context of Newey and West (1987), considering the Tobit model as a special case of a GMM estimator

Topics: Tobit, panel data, standard error estimation, autocorrelation, censoring
Year: 2002
OAI identifier: oai:CiteSeerX.psu:10.1.1.197.7855
Provided by: CiteSeerX
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