English, Article, Journal or magazine article edition: The Tobit model with feedback and random effects: A Monte-Carlo study Eva Poen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/104217
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Tobit model with feedback and random effects: A Monte-Carlo study
Author
  • Eva Poen
Physical Description
  • preprint
Notes
  • We study a random effects censored regression model in the context of repeated games. Introducing a feedback variable into the model leads to violation of the strict exogeneity assumption, thus rendering the random effects estimator inconsistent. Using the example of contributions to a public good, we investigate the size of this bias in a Monte-Carlo study. We find that the magnitude of the bias is around one per cent when initial values and individual effects are correlated. The rate of censoring, as well as the size of the groups in which subjects interact, both have an effect on the magnitude of the bias. The coefficients of strictly exogenous, continuous regressors remain unaffected by the endogeneity bias. The size of the endogeneity bias in our model is very small compared to the size of the heterogeneity bias, which occurs when individual heterogeneity is not accounted for in estimation of nonlinear models.
  • Monte-Carlo, Simulation, Random Effects, Censored Regression Model, Public Goods, Heterogeneity, Endogeneity
  • RePEc:cdx:dpaper:2009-14
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment