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A Comparison of Different Estimators for Panel Data Sample Selection Models

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  • Jensen, Peter

    (Department of Economics, Aarhus School of Business)

  • Rosholm, Michael

    (Department of Economics, Aarhus School of Business)

  • Verner, Mette

    (Department of Economics, Aarhus School of Business)

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 samle 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 in two-step estimators

Suggested Citation

  • Jensen, Peter & Rosholm, Michael & Verner, Mette, 2002. "A Comparison of Different Estimators for Panel Data Sample Selection Models," Working Papers 02-1, University of Aarhus, Aarhus School of Business, Department of Economics.
    • Handle: RePEc:hhs:aareco:2002_001
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    References listed on IDEAS

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    1. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Incomplete panels and selection bias : A survey," Discussion Paper 1992-7, Tilburg University, Center for Economic Research.
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    5. 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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    11. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, vol. 90(2), pages 239-263, June.
    12. María Engracia Rochina-Barrachina, 1999. "A New Estimator for Panel Data Sample Selection Models," Annals of Economics and Statistics, GENES, issue 55-56, pages 153-181.
    13. repec:adr:anecst:y:1999:i:55-56:p:06 is not listed on IDEAS
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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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