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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 & IZA)

  • Stewart, Mark B.

    (University of Warwick)

Abstract

This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model and other dynamic nonlinear panel data models using standard software. It then compares the 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 simulation experiments. The results indicate that none of the three estimators dominates the other two in all cases. In most cases all three estimators display satisfactory performance, except when the number of time periods is very small.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp_884.pdf
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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 884.

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Length: 41 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:wrk:warwec:884

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

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