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A Comparison of Different Estimators for Panel Data Sample Selection Models

Peter Jensen, Michael Rosholm and Mette Verner ()

No 02-1, Working Papers from University of Aarhus, Aarhus School of Business, Department of Economics

Abstract: In this paper, we perform an extensive Monte Carlo study of the finite sample properties of different estimators for panel data sample selection models. The estimators investigated are various two-step estimators and maximum likelihood estimators with simultaneous equations for the samle selection process and the equation of interest. The main result of the Monte Carlo study is that the maximum likelihood estimators of random effects models in general perform better than in two-step estimators

Keywords: Panel data; sample selection; individual-specific effects (search for similar items in EconPapers)
JEL-codes: C23 C33 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2002-12-01
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Citations: View citations in EconPapers (14)

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