The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models

Raymond, Wladimir, Mohnen, Pierre, Palm, Franz and Schim van der Loeff, Sybrand (2007). The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models. UNU-MERIT.

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UNU-MERIT Working Papers

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  • Author Raymond, Wladimir
    Mohnen, Pierre
    Palm, Franz
    Schim van der Loeff, Sybrand
    Title The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models
    Publication Date 2007
    Publisher UNU-MERIT
    Abstract This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using "two-step" Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature works well in finite sample for a number of evaluation points as small as two. Incorrectly ignoring the individual effects, or the dependence between the initial conditions and the individual effects results in an overestimation of the coefficients of the lagged dependent variables. An application to incremental and radical product innovations by Dutch business firms illustrates the method.
    Keyword Panel data
    Maximum likelihood estimator
    Dynamic models
    Sample selection
    JEL C33
    C34
    O31
    Copyright Holder UNU-MERIT
    Copyright Year 2007
    ISSN 1871-9872
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    Created: Wed, 11 Dec 2013, 15:48:27 JST