Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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A COMPARISON OF DIFFERENT ESTIMATORS FOR PANEL DATA SAMPLE SELECTION MODELS


Category: Econometrics
PANEL DATA AND SELECTION
Tuesday 27th August 2002, 09:30 - 11:00, Room: 4.1
Session Chair(s): Isabelle De Greef, IRES - Université Catholique de Louvain, BELGIUM

Presenter(s): Rosholm, Michael

Co-Author(s): Jensen, Peter and Verner, Mette

Keyword(s): Individual-specific effects, Panel data, Sample selection

JEL(s): C23, C33

Abstract:

In this paper, we perform an extensive Monte Carlo study of the finite sample properties of different estimators for panel data sample selection models. The estimators investigated are various two-step estimators and maximum likelihood estimators with simultaneous equations for the sample selection process and the equation of interest. The main result of the Monte Carlo study is that the maximum likelihood estimators of random effects models in general perform better than the two-step estimators.


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Paper Reference Number: 519

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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