Estimation of a censored regression panel data model using conditional moment restrictions efficiently

Honore has introduced a semiparametric estimator for the censored regressio n panel data model with fixed individual effects. Newey has shown how to ob tain efficient estimators under a given conditional moment restriction. We apply Newey's approach to obtain a two-step GMM estimator which is more eff icient than the Honore estimator. We compare this estimator to the Honore: estimator and to parametric estimators including Chamberlain's quasi-fixed effects estimator in a Monte Carlo experiment. We also extend the Honore es timator and the two-step GMM estimator to the case of a balanced or unbalan ced panel of more than two waves. We apply the estimators to an empirical e xample concerning earnings of married females, using data from the Dutch So cio-Economic Panel. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C14; C23; C24.