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

Wiji Arulampalam and Mark Stewart

Oxford Bulletin of Economics and Statistics, 2009, vol. 71, issue 5, 659-681

Abstract: This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model and other dynamic nonlinear panel data models using standard software. It then compares the 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 simulation experiments. The results indicate that none of the three estimators dominates the other two in all cases. In most cases, all three estimators display satisfactory performance, except when the number of time periods is very small.

Date: 2009
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Citations: View citations in EconPapers (131)

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https://doi.org/10.1111/j.1468-0084.2009.00554.x

Related works:
Working Paper: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (2008)
Working Paper: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (2008)
Working Paper: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (2007)
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