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

Author

Listed:
  • Arulampalam, Wiji
  • Stewart, Mark B.
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.

Suggested Citation

  • Arulampalam, Wiji & Stewart, Mark B., 2008. "Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators," Economic Research Papers 269896, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:269896
    DOI: 10.22004/ag.econ.269896
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    More about this item

    Keywords

    Agricultural and Food Policy; Research and Development/Tech Change/Emerging Technologies;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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