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

21 Pages Posted: 10 Oct 2007

See all articles by Mark B. Stewart

Mark B. Stewart

University of Warwick - Department of Economics

Wiji Arulampalam

University of Warwick - Department of Economics; IZA Institute of Labor Economics

Date Written: September 2007

Abstract

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.

Keywords: dynamic discrete choice models, initial conditions, dynamic probit, panel data

JEL Classification: C23, C25, C13, C51

Suggested Citation

Stewart, Mark B. and Arulampalam, Wiji, Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (September 2007). IZA Discussion Paper No. 3039, Available at SSRN: https://ssrn.com/abstract=1020582

Mark B. Stewart

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom

Wiji Arulampalam (Contact Author)

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom
01203 523471 (Phone)
01203 523032 (Fax)

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

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