Two of Peter Schmidt's many contributions to econometrics have been to introduce a simultaneous logit model for bivariate binary outcomes and to study estimation of dynamic linear fixed effects panel data models using short panels. In this paper, we study a dynamic panel data version of the...

The author considers the problem of estimation in a panel data sample selection model, where both the selection and the regression equation of interest contain unobservable individual-specific effects. He proposes a two-step estimation procedure, which 'differences out' the sample selection...

We investigate the empirical significance of borrowing constraints in the market for consumer loans. We set up a theoretical model of consumer loan demand, which in the presence of credit rationing implies restrictions on the elasticities of loan demand with respect to the interest rate and the...

This paper analyzes the intertemporal labor force participation behavior of married women using an annual longitudinal sample from the German Socio-Economic Panel. A predominant characteristic of annual participation behavior is the high degree of persistence in individual participation...

We investigate the significance of borrowing constraints in the market for consumer loans. Using data from the Consumer Expenditure Survey on auto loan contracts we estimate the elasticities of loan demand with respect to interest rate and maturity. We find that, with the exception of high...

The aim of this paper is two-fold. First, we review recent estimators for censored regression and sample selection panel data models with unobservable individual specific effects, and show how the idea behind these estimators can be used to construct estimators for a variety of other Tobit-type...