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Autoregressive Models with Sample Selectivity for Panel Data

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Author Info

  • Arellano, M.
  • Bover, O.
  • Labeaga, J.M.

Abstract

The purpose of this paper is to formulate procedures for the analysis of the time series behaviour of micro panel data subject to censoring. We assume an autoregressive model with random effects for a latent variable which is only partly observed due to a selection mechanism. Our methods are based on the observation that the subsamples which only include individuals without censored past observations are exogenously selected for the purpose conditional on its past. We apply these methods to analyze the dynamics of female labour supply and wages using PSID data.

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Bibliographic Info

Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9706.

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Length: 44 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:cemfdt:9706

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Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
Phone: 914290551
Fax: 914291056
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Web page: http://www.cemfi.es/
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Related research

Keywords: SAMPLING ; LABOUR SUPPLY ; WAGES ; MODELS;

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Cited by:
  1. Vella, F. & Verbeek, M.J.C.M., 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80344, Tilburg University.
  2. Chrysanthou, Georgios Marios, . "Estimating union wage effects in Great Britain during 1991-2003," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2614, Universidad Carlos III de Madrid.
  3. Laura Crespo, 2007. "The Role Of Wage Differences And Individual Labour Supply On Male Earnings Inequality: Empirical Evidence From Spain," Working Papers. Serie EC 2007-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Alan S. Blinder & Yoram Weiss, 1975. "Human Capital and Labor Supply: A Synthesis," NBER Working Papers 0067, National Bureau of Economic Research, Inc.
  5. Graciela Sanromán, 2003. "Vivienda y Fiscalidad en España: un análisis empírico," Documentos de Trabajo (working papers) 0803, Department of Economics - dECON.
  6. Alonso-Borrego, César & Forcadell, Francisco Javier, 2010. "Related diversification and R&D intensity dynamics," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15671, Universidad Carlos III de Madrid.
  7. José M. Labeaga, Xisco Oliver & Xisco Oliver & Amedeo Spadaro, . "Discrete choice models of labour Supply, behavioural microsimulation and the Spanish tax reforms," Working Papers 2005-14, FEDEA.
  8. Lechner, Michael, 1993. "The dynamics of self-employment in East Germany: an empirical analysis using panel data and allowing for state dependence and endogenous attrition," ZEW Discussion Papers 93-24, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  9. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009.
  10. Luojia Hu, 2000. "Estimating a Censored Dynamic Panel Data Model with an Application to Earnings Dynamics," Working Papers 814, Princeton University, Department of Economics, Industrial Relations Section..
  11. repec:hal:wpaper:halshs-00590836 is not listed on IDEAS
  12. Sébastien Laurent, 2001. "Capital humain, emploi et salaire en Belgique et dans ses régions," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(1), pages 25-36.

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