IV Estimation of Panel Data Tobit Models with Normal Errors

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.

This is a very old unpublished draft that is relevant for the recent literature that constructs moment conditions in nonlinear panel data models