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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
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Abstract:
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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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Find this file in the \Papers\519\ folder of this CD-ROM.
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