Scandinavian Working Papers in Economics
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Department of Economics, Aarhus School of Business, University of Aarhus Working Papers, Department of Economics, Aarhus School of Business, University of Aarhus

No 02-1:
A Comparison of Different Estimators for Panel Data Sample Selection Models.

Peter Jensen (), Michael Rosholm and Mette Verner ()

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

Keywords: Panel data; sample selection; individual-specific effects; (follow links to similar papers)

JEL-Codes: C23; C33; (follow links to similar papers)

32 pages, December 1, 2002

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