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 of Labor Economics (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 probit; dynamic discrete choice models; panel data; initial conditions (search for similar items in EconPapers)
JEL-codes: C13 C23 C25 C51 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-09
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Published - completely revised published in: Oxford Bulletin of Economics and Statistics, 2009, 71 (5), 659-681

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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 (2008)
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