Scandinavian Working Papers in Economics

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

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

Peter Jensen (), Michael Rosholm and Mette Verner ()
Additional contact information
Peter Jensen: Department of Economics, Aarhus School of Business, Postal: The Aarhus School of Business, Prismet, Silkeborgvej 2, DK 8000 Aarhus C, Denmark
Michael Rosholm: Department of Economics, Aarhus School of Business, Postal: The Aarhus School of Business, Prismet, Silkeborgvej 2, DK 8000 Aarhus C, Denmark
Mette Verner: Department of Economics, Aarhus School of Business, Postal: The Aarhus School of Business, Prismet, Silkeborgvej 2, DK 8000 Aarhus C, Denmark

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

JEL-codes: C23; C33

32 pages, December 1, 2002

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02-1_pje.pdf PDF-file

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