IDEAS home Printed from https://ideas.repec.org/a/bla/stanee/v69y2015i2p115-125.html
   My bibliography  Save this article

Two tests for strict exogeneity in a correlated random effects panel data Tobit model

Author

Listed:
  • Adriaan Kalwij

Abstract

type="main"> This paper presents two tests for strict exogeneity of the covariates in a correlated random effects panel data Tobit model. The tests are applied in an analysis of hours of work of US women. Estimation procedures when a model does not pass a test for strict exogeneity are discussed.

Suggested Citation

  • Adriaan Kalwij, 2015. "Two tests for strict exogeneity in a correlated random effects panel data Tobit model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(2), pages 115-125, May.
    • Handle: RePEc:bla:stanee:v:69:y:2015:i:2:p:115-125
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/stan.12052
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:adr:anecst:y:2001:i:61:p:04 is not listed on IDEAS
    2. Kalwij, Adriaan S., 2003. "A maximum likelihood estimator based on first differences for a panel data Tobit model with individual specific effects," Economics Letters, Elsevier, vol. 81(2), pages 165-172, November.
    3. Wooldridge, Jeffrey M., 2000. "A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables," Economics Letters, Elsevier, vol. 68(3), pages 245-250, September.
    4. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54, January.
    5. Juan A. Sanchis-Llopis, 2001. "Infrequency of Purchase: A Model for Clothing Consumption with Panel Data," Annals of Economics and Statistics, GENES, issue 61, pages 49-71.
    6. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318, Elsevier.
    7. Lee, Myoung-jae, 2001. "First-difference estimator for panel censored-selection models," Economics Letters, Elsevier, vol. 70(1), pages 43-49, January.
    8. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
    9. David A. Love & Paul A. Smith, 2010. "Does health affect portfolio choice?," Health Economics, John Wiley & Sons, Ltd., vol. 19(12), pages 1441-1460, December.
    10. Ardeshir Sepehri & Sisira Sarma & Wayne Simpson, 2006. "Does non‐profit health insurance reduce financial burden? Evidence from the Vietnam living standards survey panel," Health Economics, John Wiley & Sons, Ltd., vol. 15(6), pages 603-616, June.
    11. Wooldridge, Jeffrey M., 1995. "Selection corrections for panel data models under conditional mean independence assumptions," Journal of Econometrics, Elsevier, vol. 68(1), pages 115-132, July.
    12. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
    13. Stefan Hochguertel & Henry Ohlsson, 2009. "Compensatory inter vivos gifts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 993-1023.
    14. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
    15. Stefan Hochguertel & Henry Ohlsson, 2009. "Compensatory inter vivos gifts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 993-1023.
    16. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    17. Zabel, Jeffrey E., 1992. "Estimating fixed and random effects models with selectivity," Economics Letters, Elsevier, vol. 40(3), pages 269-272, November.
    18. María Engracia Rochina-Barrachina, 1999. "A New Estimator for Panel Data Sample Selection Models," Annals of Economics and Statistics, GENES, issue 55-56, pages 153-181.
    19. repec:adr:anecst:y:1999:i:55-56:p:06 is not listed on IDEAS
    20. Bianca Buligescu & Denis de Crombrugghe & Gülçin Menteşoğlu & Raymond Montizaan, 2009. "Panel estimates of the wage penalty for maternal leave," Oxford Economic Papers, Oxford University Press, vol. 61(suppl_1), pages 35-55, April.
    21. Adriaan S. Kalwij & Mary Gregory, 2005. "A panel data analysis of the effects of wages, standard hours and unionization on paid overtime work in Britain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(1), pages 207-231, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David Aristei & Gabriele Angori, 2022. "Heterogeneity and state dependence in firms’ access to bank credit," Small Business Economics, Springer, vol. 59(1), pages 47-78, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kalwij, Adriaan S., 2003. "A maximum likelihood estimator based on first differences for a panel data Tobit model with individual specific effects," Economics Letters, Elsevier, vol. 81(2), pages 165-172, November.
    2. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.
    3. Wladimir Raymond & Pierre Mohnen & Franz Palm & Sybrand Schim van der Loeff, 2007. "The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models," CIRANO Working Papers 2007s-06, CIRANO.
    4. Han, Chirok & Lee, Goeun, 2022. "Bias correction for within-group estimation of panel data models with fixed effects and sample selection," Economics Letters, Elsevier, vol. 220(C).
    5. Stéfan Lollivier & Pascale Pollet, 2003. "Impact de la formation initiale sur les rémunérations au cours de la vie active," Revue d'économie politique, Dalloz, vol. 113(6), pages 801-827.
    6. Luis García & Erika Collantes, 2017. "Effect of the Juntos social program on female labor supply in Peru," Documentos de Trabajo / Working Papers 2017-448, Departamento de Economía - Pontificia Universidad Católica del Perú.
    7. Fernández-Val, Iván & Vella, Francis, 2011. "Bias corrections for two-step fixed effects panel data estimators," Journal of Econometrics, Elsevier, vol. 163(2), pages 144-162, August.
    8. Guastella, Gianni & Moro, Daniele & Sckokai, Paolo & Veneziani, Mario, 2014. "The capitalization of area payments into land rental prices: a panel sample selection approach," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 186375, European Association of Agricultural Economists.
    9. Malikov, Emir & Kumbhakar, Subal C., 2014. "A generalized panel data switching regression model," Economics Letters, Elsevier, vol. 124(3), pages 353-357.
    10. Pouliakas, Konstantinos & Panos, Georgios & Zangelidis, Alexandros, 2009. "The Inter-Related Dynamics of Dual Job Holding, Human Capital and Occupational Choice," MPRA Paper 16859, University Library of Munich, Germany.
    11. Kalwij, A.S., 2004. "A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions," Other publications TiSEM 473a102b-78d1-4add-847f-5, Tilburg University, School of Economics and Management.
    12. Akay, Alpaslan, 2007. "Dynamics of Employment- and Earnings-Assimilation of First-Generation Immigrant Men in Sweden, 1990-2000," Working Papers in Economics 279, University of Gothenburg, Department of Economics.
    13. Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020. "Consistent estimation of panel data sample selection models," Working Papers 2020-06, FEDEA.
    14. D'Addio, Anna Cristina & De Greef, Isabelle & Rosholm, Michael, 2002. "Assessing Unemployment Traps in Belgium Using Panel Data Sample Selection Models," IZA Discussion Papers 669, Institute of Labor Economics (IZA).
    15. Jia, Lili, 2012. "Land fragmentation and off-farm labor supply in China," Studies on the Agricultural and Food Sector in Transition Economies, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), volume 66, number 66.
    16. Stefan Hochguertel & Henry Ohlsson, 2009. "Compensatory inter vivos gifts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 993-1023.
    17. Murtazashvili, Irina & Wooldridge, Jeffrey M., 2016. "A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching," Journal of Econometrics, Elsevier, vol. 190(2), pages 252-266.
    18. Giulia Bettin & Riccardo Lucchetti & Claudia Pigini, 2016. "State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany," Mo.Fi.R. Working Papers 127, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    19. Robert Jäckle & Oliver Himmler, 2010. "Health and Wages: Panel Data Estimates Considering Selection and Endogeneity," Journal of Human Resources, University of Wisconsin Press, vol. 45(2).
    20. Manudeep Bhuller & Christian N. Brinch & Sebastian Königs, 2017. "Time Aggregation and State Dependence in Welfare Receipt," Economic Journal, Royal Economic Society, vol. 127(604), pages 1833-1873, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:stanee:v:69:y:2015:i:2:p:115-125. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.