Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators

Wiji Arulampalam () and Mark Stewart ()

No 3039, IZA Discussion Papers from Institute for the Study of Labor (IZA)

Abstract: This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model using standard software. It then compares the three 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 simple simulation experiments.

Keywords: dynamic discrete choice models; initial conditions; dynamic probit; panel data (search for similar items in EconPapers)
JEL-codes: C23 C25 C13 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
Date: 2007-09
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Related works:
Working Paper: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (2008)
Journal Article: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (2009)
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