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Autoregressive Models with Sample Selectivity for Panel Data

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

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