Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26037 
Year of Publication: 
2007
Series/Report no.: 
CESifo Working Paper No. 1992
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using “two-step” Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature works well in finite sample for a number of evaluation points as small as two. Incorrectly ignoring the individual effects, or the dependence between the initial conditions and the individual effects results in an overestimation of the coefficients of the lagged dependent variables. An application to incremental and radical product innovations by Dutch business firms illustrates the method.
JEL: 
C34
C51
O33
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
416.72 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.