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A Comparison of Different Estimators for Panel Data Sample Selection Models

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  • Peter Jensen
  • Michael Rosholm
  • Mette Verner

    () (Department of Economics, University of Aarhus, Denmark)

Abstract

In this paper, we perform an extensive Monte Carlo study of the finite sample properties of different estimators for panel data sample selection models. The estimators investigated are various two-step estimators and maximum likelihood estimators with simultaneous equations for the sampleselection process and the equation of interest. The main result of the MonteCarlo study is that the maximum likelihood estimators of random effectsmodels in general perform better than the two-step estimators.

Suggested Citation

  • Peter Jensen & Michael Rosholm & Mette Verner, "undated". "A Comparison of Different Estimators for Panel Data Sample Selection Models," Economics Working Papers 2002-1, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:aarhec:2002-1
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    File URL: ftp://ftp.econ.au.dk/afn/wp/02/wp02_1.pdf
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    References listed on IDEAS

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    1. Husted, Leif & Skyt Nielsen, Helena & Rosholm, Michael & Smith, Nina, 2000. "Employment and Wage Assimilation of Male First Generation Immigrants in Denmark," CLS Working Papers 00-1, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
    2. Hausman, Jerry A & Wise, David A, 1979. "Attrition Bias in Experimental and Panel Data: The Gary Income Maintenance Experiment," Econometrica, Econometric Society, vol. 47(2), pages 455-473, March.
    3. Lee, Myoung-jae, 2001. "First-difference estimator for panel censored-selection models," Economics Letters, Elsevier, vol. 70(1), pages 43-49, January.
    4. Dustmann, Christian & Rochina-Barrachina, María Engracia, 2000. "Selection Correction in Panel Data Models: An Application to Labour Supply and Wages," IZA Discussion Papers 162, Institute for the Study of Labor (IZA).
    5. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    6. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    7. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, vol. 90(2), pages 239-263, June.
    8. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
    9. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
    10. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
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    Citations

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    Cited by:

    1. Benítez-Silva, Hugo & Eren, Selçuk & Heiland, Frank & Jiménez-Martín, Sergi, 2015. "How well do individuals predict the selling prices of their homes?," Journal of Housing Economics, Elsevier, vol. 29(C), pages 12-25.
    2. Nicoletti, Cheti, 2006. "Nonresponse in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 132(2), pages 461-489, June.
    3. Leonardo Grilli & Carla Rampichini, 2010. "Selection bias in linear mixed models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 309-329.
    4. Inmaculada García Mainar & Víctor M. Montuenga Gómez, 2004. "Returns to education and to experience within the EU: are there differences between wage earners and the self-employed?," Documentos de Trabajo dt2004-08, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    5. Helena Skyt Nielsen & Michael Rosholm & Nina Smith & Leif Husted, 2004. "Qualifications, discrimination, or assimilation? An extended framework for analysing immigrant wage gaps," Empirical Economics, Springer, vol. 29(4), pages 855-883, December.
    6. Anna Cristina d'Addio & Isabelle De Greef & Michael Rosholm, 2002. "Assessing Unemployment Traps in Belgium using Panel Data Sample Selection models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C1-3, International Conferences on Panel Data.
    7. Husted, Leif & Skyt Nielsen, Helena & Rosholm, Michael & Smith, Nina, 2000. "Hit Twice? Danish Evidence on the Double-Negative Effect on the Wages of Immigrant Women," CLS Working Papers 00-6, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
    8. José Molina & Víctor Montuenga, 2009. "The Motherhood Wage Penalty in Spain," Journal of Family and Economic Issues, Springer, vol. 30(3), pages 237-251, September.
    9. Cooke, Edgar F A, 2011. "The impact of trade preferences on exports of developing countries: the case of the AGOA and CBI preferences of the USA," MPRA Paper 31439, University Library of Munich, Germany.
    10. José Alberto Molina & Víctor M. Montuenga, 2008. "The Motherhood Wage Penalty in a Mediterranean Country: The Case of Spain," Documentos de Trabajo dt2008-02, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    11. Mora, Jhon James & Muro, Juan, 2014. "Consistent estimation in pseudo panels in the presence of selection bias," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 8, pages 1-25.
    12. Smeets, Valerie, 2004. "Are There Fast Tracks in Economic Departments? Evidence from a Sample of Top Economists," Working Papers 04-4, University of Aarhus, Aarhus School of Business, Department of Economics.

    More about this item

    Keywords

    Panel data; sample selection; individual-specific effects;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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