Working Papers, Department of Economics, Aarhus School of Business, University of Aarhus
A Comparison of Different Estimators for Panel Data Sample Selection Models.
(), 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
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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