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A Comparison of Different Estimators for Panel Data Sample Selection Models

Author

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  • Peter Jensen
  • Michael Rosholm
  • Mette Verner

    (Department of Economics, University of Aarhus, Denmark)

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 sampleselection process and the equation of interest. The main result of the MonteCarlo study is that the maximum likelihood estimators of random effectsmodels in general perform better than the two-step estimators.

Suggested Citation

  • Peter Jensen & Michael Rosholm & Mette Verner, "undated". "A Comparison of Different Estimators for Panel Data Sample Selection Models," Economics Working Papers 2002-1, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:aarhec:2002-1
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    References listed on IDEAS

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    10. repec:adr:anecst:y:1999:i:55-56:p:06 is not listed on IDEAS
    11. Lee, Myoung-jae, 2001. "First-difference estimator for panel censored-selection models," Economics Letters, Elsevier, vol. 70(1), pages 43-49, January.
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    14. Leif Husted & Helena Skyt Nielsen & Michael Rosholm & Nina Smith, 2001. "Employment and wage assimilation of male first‐generation immigrants in Denmark," International Journal of Manpower, Emerald Group Publishing Limited, vol. 22(1/2), pages 39-71, February.
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    Cited by:

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    2. Husted, Leif & Skyt Nielsen, Helena & Rosholm, Michael & Smith, Nina, 2000. "Hit Twice? Danish Evidence on the Double-Negative Effect on the Wages of Immigrant Women," CLS Working Papers 00-6, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
    3. Benítez-Silva, Hugo & Eren, Selçuk & Heiland, Frank & Jiménez-Martín, Sergi, 2015. "How well do individuals predict the selling prices of their homes?," Journal of Housing Economics, Elsevier, vol. 29(C), pages 12-25.
    4. José Molina & Víctor Montuenga, 2009. "The Motherhood Wage Penalty in Spain," Journal of Family and Economic Issues, Springer, vol. 30(3), pages 237-251, September.
    5. Mora, Jhon James & Muro, Juan, 2014. "Consistent estimation in pseudo panels in the presence of selection bias," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-25.
    6. Smeets, Valerie, 2004. "Are There Fast Tracks in Economic Departments? Evidence from a Sample of Top Economists," Working Papers 04-4, University of Aarhus, Aarhus School of Business, Department of Economics.
    7. Bo Chen & Yao Li, 2014. "Special Issue: Issues in Asia. Guest Editor: Laixun Zhao," Review of Development Economics, Wiley Blackwell, vol. 18(2), pages 326-339, May.
    8. Anna Cristina d'Addio & Isabelle De Greef & Michael Rosholm, 2002. "Assessing Unemployment Traps in Belgium using Panel Data Sample Selection models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C1-3, International Conferences on Panel Data.
    9. Cooke, Edgar F A, 2011. "The impact of trade preferences on exports of developing countries: the case of the AGOA and CBI preferences of the USA," MPRA Paper 31439, University Library of Munich, Germany.
    10. Jos� Alberto Molina & V�ctor M. Montuenga, 2008. "The Motherhood Wage Penalty in a Mediterranean Country: The Case of Spain," Documentos de Trabajo dt2008-02, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    11. Leonardo Grilli & Carla Rampichini, 2010. "Selection bias in linear mixed models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 309-329.
    12. Helena Skyt Nielsen & Michael Rosholm & Nina Smith & Leif Husted, 2004. "Qualifications, discrimination, or assimilation? An extended framework for analysing immigrant wage gaps," Empirical Economics, Springer, vol. 29(4), pages 855-883, December.
    13. Nicoletti, Cheti, 2006. "Nonresponse in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 132(2), pages 461-489, June.
    14. Inmaculada Garc�a Mainar & V�ctor M. Montuenga G�mez, 2004. "Returns to education and to experience within the EU: are there differences between wage earners and the self-employed?," Documentos de Trabajo dt2004-08, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.

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    More about this item

    Keywords

    Panel data; sample selection; individual-specific effects;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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