The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models

Pierre Mohnen, Wladimir Raymond (), Franz Palm and Sybrand Schim van der Loeff ()
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Sybrand Schim van der Loeff: University of Maastricht

No 2007-007, MERIT Working Papers from United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT)

Abstract: This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using "two-step" Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature works well in finite sample for a number of evaluation points as small as two. Incorrectly ignoring the individual effects, or the dependence between the initial conditions and the individual effects results in an overestimation of the coefficients of the lagged dependent variables. An application to incremental and radical product innovations by Dutch business firms illustrates the method.

Keywords: panel data; maximum likelihood estimator; dynamic models; sample selection (search for similar items in EconPapers)
JEL-codes: C33 C34 O31 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models (2007)
Working Paper: The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:unm:unumer:2007007

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