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Simplified implementation of the Heckman Estimator of the Dynamic Probit Model and a comparison with alternative estimators
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Arulampalam, Wiji and Stewart, Mark B. (2008) Simplified implementation of the Heckman Estimator of the Dynamic Probit Model and a comparison with alternative estimators. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.884).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
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.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics H Social Sciences > HA Statistics |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Estimation theory, Economics -- Mathematical models, Mathematical statistics, Econometric models | ||||
Series Name: | Warwick economic research papers | ||||
Publisher: | University of Warwick, Department of Economics | ||||
Place of Publication: | Coventry | ||||
Official Date: | January 2008 | ||||
Dates: |
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Number: | No.884 | ||||
Number of Pages: | 41 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | RES-000-22-0651 (ESRC), RES-000-22-2611 (ESRC) |
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