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st: Re: doubt on panel data estimation


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: doubt on panel data estimation
Date   Tue, 27 Jun 2006 09:26:11 -0400

Dear M Parameswaran

There is a "new" literature about estimating fixed-effects in nonlinear
models. Several paper of J. Hahn, but I recommend to start with 
a good survey by M. Arellano and J. Hahn (2006) "Understanding 
Bias in Nonlinear panel Models" (should be available on-line).

Rodrigo.






----- Original Message ----- 
From: "M.Parameswaran" <mpeswaran@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, June 27, 2006 7:36 AM
Subject: st: doubt on panel data estimation


Dear Friends,

I am a researcher at Centre for Development Studies, Kerala, India. I
have a panel data on manufacturing firms for six years. I want to
estimate a tobit model using this data. I understand that consistent
estimation of random effect tobit model requires strict exogeneity of
the regressors, which is not valid in my data set; current value of
the depended variable affects future value of regressors. Another
option is to use pooled estimation that ignore firm's specific
effects. I would be highly grateful if you could give your advice on
the choice between these two estimates or some other better methods.
Looking forward to your response,
Thanking you,
M Parameswaran


-- 
M. Parameswaran,
Research Associate,
Centre for Development Studies,
Prasanth Nagar Road, Ulloor.
Trivandrum - 695 011,
Kerala, India.
Phone: +91-471-2448881 (O)
             +91 - 09446506388 (mobile)
e-mail: parameswaran@cds.ac.in
           mpeswaran@gmail.com
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