Estimation des modèles à deux régimes avec des données de panel

A procedure for estimating parameters of a sample selection model with endogenous regressors is proposed for the case of panel data. The variance-covariance matrix is computed by adapting the Lee, maddala and Trost [1980] approach to panel data. An application of the model to the computation of returns to education is proposed; the instrumental matrices of Breusch-Mizon-Schmidt [1989] and Amemiya Macurdy [1986] are shown to be superior to the one of Hausman-Taylor [1981].