Raymond, Wladimir; Mohnen, Pierre; Palm, Franz; Loeff, … - Centre Interuniversitaire de Recherche en Analyse des … - 2007
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...