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A New Estimator for Panel Data Sample Selection Models

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  • María Engracia ROCHINA-BARRACHINA
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    Abstract

    In this paper we are concerned with the estimation of a panel data sample selection model where both the selection and the regression equation contain individual effects allowed to be correlated with the observable variables. In this direction, some estimation techniques have been recently developed. We propose a new method for correcting for sample selection bias. Our estimation procedure is an extension of the familiar two-step sample selection technique to the case where one correlated selection rule in two different time periods generates the sample. Some non-parametric components are allowed. The finite sample properties of the estimator are investigated by Monte Carlo simulation experiments.

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    Bibliographic Info

    Article provided by ENSAE in its journal Annals of Economics and Statistics.

    Volume (Year): (1999)
    Issue (Month): 55-56 ()
    Pages: 153-181

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    Handle: RePEc:adr:anecst:y:1999:i:55-56:p:06

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    Cited by:
    1. Guastella, G. & Moro, D. & Sckokai, P. & Veneziani, M., 2013. "The Capitalization of Area Payment into Land Rental Prices: Micro-evidence from Italy," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 150617, Agricultural and Applied Economics Association.
    2. Horst, J.R. ter & Nijman, T.E. & Verbeek, M.J.C.M., 1998. "Eliminating biases in evaluating mutual fund performance from a survivorship free sample," Discussion Paper, Tilburg University, Center for Economic Research 98.55, Tilburg University, Center for Economic Research.
    3. Spiess, Martin & Kroh, Martin, 2010. "A Selection Model for Panel Data: The Prospects of Green Party Support," EconStor Open Access Articles, ZBW - German National Library of Economics, ZBW - German National Library of Economics, pages 172-188.
    4. Robert Jäckle & Oliver Himmler, 2010. "Health and Wages: Panel Data Estimates Considering Selection and Endogeneity," Journal of Human Resources, University of Wisconsin Press, University of Wisconsin Press, vol. 45(2).
    5. Giannetti, C., 2009. "Relationship Lending and Firm Innovativeness," Discussion Paper, Tilburg University, Center for Economic Research 2009-08, Tilburg University, Center for Economic Research.
    6. Robin G. Milne & Robert E. Wright, 2004. "Competition and Costs: Evidence from Competitive Tendering in the Scottish National Health Service," Scottish Journal of Political Economy, Scottish Economic Society, Scottish Economic Society, vol. 51(1), pages 1-23, 02.
    7. Elek, Peter & Kollo, Janos & Reizer, Balázs & Szabó, Péter A., 2011. "Detecting Wage Under-reporting Using a Double Hurdle Model," IZA Discussion Papers 6224, Institute for the Study of Labor (IZA).
    8. Nizalova, Olena Y. & Sliusarenko, Tamara, 2013. "Motherhood Wage Penalty in Times of Transition," IZA Discussion Papers 7810, Institute for the Study of Labor (IZA).

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