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

  • Arulampalam, Wiji

    ()

    (University of Warwick)

  • Stewart, Mark

    ()

    (University of Warwick)

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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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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  1. Stewart, Mark, 2006. "The Inter-related Dynamics of Unemployment and Low-Wage Employment," The Warwick Economics Research Paper Series (TWERPS) 741, University of Warwick, Department of Economics.
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  10. Jenkins, Stephen P. & Cappellari, Lorenzo, 2008. "The dynamics of social assistance receipt: measurement and modelling issues, with an application to Britain," ISER Working Paper Series 2008-34, Institute for Social and Economic Research.
  11. Dean R. Hyslop, 1999. "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women," Econometrica, Econometric Society, vol. 67(6), pages 1255-1294, November.
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  17. Andrew Henley, 2004. "Self-Employment Status: The Role of State Dependence and Initial Circumstances," Small Business Economics, Springer, vol. 22(1), pages 67-82, 02.
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  19. Pudney, Stephen, 2006. "The dynamics of perception: modelling subjective well-being in a short panel," ISER Working Paper Series 2006-27, Institute for Social and Economic Research.
  20. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
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  22. Francisco Requena-Silvente, 2005. "The Decision to Enter and Exit Foreign Markets: Evidence from U.K. SMEs," Small Business Economics, Springer, vol. 25(3), pages 237-253, October.
  23. Rick Audas & Tim Barmby & John Treble, 2004. "Luck, Effort, and Reward in an Organizational Hierarchy," Journal of Labor Economics, University of Chicago Press, vol. 22(2), pages 379-396, April.
  24. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
  25. Honore, Bo E., 1993. "Orthogonality conditions for Tobit models with fixed effects and lagged dependent variables," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 35-61, September.
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