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

Wiji Arulampalam and Mark Stewart

No 269896, Economic Research Papers from University of Warwick - Department of Economics

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.

Keywords: Agricultural and Food Policy; Research and Development/Tech Change/Emerging Technologies (search for similar items in EconPapers)
Pages: 41
Date: 2008-12-12
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators* (2009)
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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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269896

DOI: 10.22004/ag.econ.269896

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