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Estimating Panel Data Models in the Presence of Endogeneity and Selection

Julia Kielyte ()

Journal of Economics and Econometrics, 2008, vol. 51, issue 2, 1-19

Abstract: The present paper proposes a strategy for estimating panel data models in the presence of sample selection and endogeneity arising from endogenous explanatory variables and unobserved heterogeneity. We propose three alternative tests for selection bias and estimation strategies to correct for selection in the presence of endogenous regressors under the availability of valid (strictly exogenous) instruments. The approaches are illustrated using a panel of European Labour Force Survey micro data.

Keywords: Panel Data Models; Endogeneity; Sample Selection; Mills Ratio; Semiparametric Regression; Instrumental Variables; Fixed Effects. (search for similar items in EconPapers)
JEL-codes: C14 C23 C24 C33 (search for similar items in EconPapers)
Date: 2008
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