Autoregressive Models with Sample Selectivity for Panel Data

Manuel Arellano (), Olympia Bover () and Jose M. Labeaga

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: The purpose of this paper is to formulate procedures for the analysis of the time series behaviour of micro panel data subject to censoring. We assume an autoregressive model with random effects for a latent variable which is only partly observed due to a selection mechanism. Our methods are based on the observation that the subsamples which only include individuals without censored past observations are exogenously selected for the purpose conditional on its past. We apply these methods to analyze the dynamics of female labour supply and wages using PSID data.

Keywords: SAMPLING; LABOUR SUPPLY; WAGES; MODELS (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:fth:cemfdt:9706

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