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

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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Year of publication:	2007-09
Authors:	Arulampalam, Wiji ; Stewart, Mark
Institutions:	Institute for the Study of Labor (IZA)
Subject:	dynamic discrete choice models \| initial conditions \| dynamic probit \| panel data

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Extent:	application/pdf
Series:	IZA Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 3039 21 pages
Classification:	C23 - Models with Panel Data ; C25 - Discrete Regression and Qualitative Choice Models ; C13 - Estimation ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005703243