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.

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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)
Subjects:	Q Science > QA Mathematics H Social Sciences > HA Statistics
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
Date:	January 2008
Number:	No.884
Number of Pages:	41
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
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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URI:	http://wrap.warwick.ac.uk/id/eprint/1333

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