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Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators

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  • Arulampalam, Wiji

    ()
    (University of Warwick)

  • Stewart, Mark

    ()
    (University of Warwick)

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.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 3039.

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Length: 21 pages
Date of creation: Sep 2007
Date of revision:
Handle: RePEc:iza:izadps:dp3039

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Keywords: dynamic probit; dynamic discrete choice models; panel data; initial conditions;

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