Arulampalam, Wiji and Stewart, Mark B.. (2009) Simplified implementation of the Heckman estimator of the dynamic probit model and a comparison with alternative estimators. Oxford Bulletin of Economics and Statistics, Vol.71 (No.5). pp. 659-681. ISSN 0305-9049

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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:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	Oxford Bulletin of Economics and Statistics
Publisher:	Wiley-Blackwell Publishing, Inc
ISSN:	0305-9049
Date:	October 2009
Volume:	Vol.71
Number:	No.5
Number of Pages:	23
Page Range:	pp. 659-681
Identification Number:	10.1111/j.1468-0084.2009.00554.x
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Economic and Social Research Council (Great Britain) (ESRC)
Grant number:	RES-000-22-0651 (ESRC), RES-000-22-2611 (ESRC)
URI:	http://wrap.warwick.ac.uk/id/eprint/17442

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