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Re: st: Re: doubt on panel data estimation


From   "David W. Harless" <dwharles@vcu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: doubt on panel data estimation
Date   Tue, 27 Jun 2006 09:41:33 -0400

Rodrigo A. Alfaro wrote:
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.
The paper that Rodrigo refers to is available here:
http://cemmap.ifs.org.uk/papers/vol3_chap12.pdf

Dave Harless







----- 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


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