This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional...

In a binary choice panel data model with individual effects and two time periods, Manski proposed the maximum score estimator, based on a discontinuous objective function, and proved its consistency under weak distributional assumptions. However, the rate of convergence of this estimator is low...