Publication type
Journal Article
Authors
Publication date
October 15, 2009
Summary:
This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model and other dynamic nonlinear panel data models using standard software. It then compares the estimators proposed by Heckman, Orme and Wooldridge, based on three alternative approximations, first in an empirical model for the probability of unemployment and then in a set of simulation experiments. The results indicate that none of the three estimators dominates the other two in all cases. In most cases, all three estimators display satisfactory performance, except when the number of time periods is very small.
Published in
Oxford Bulletin of Economics and Statistics
Volume and page numbers
Volume: 71 , p.659 -681
DOI
http://dx.doi.org/10.1111/j.1468-0084.2009.00554.x
ISSN
3059049
Subjects
#524724