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

23 Pages Posted: 13 Oct 2009

See all articles by Wiji Arulampalam

Wiji Arulampalam

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

Mark B. Stewart

University of Warwick - Department of Economics

Date Written: 0000

Abstract

This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model and other dynamic nonlinear panel data models using standard software. It then compares the 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 simulation experiments. The results indicate that none of the three estimators dominates the other two in all cases. In most cases, all three estimators display satisfactory performance, except when the number of time periods is very small.

Suggested Citation

Arulampalam, Wiji and Stewart, Mark B., *Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators (0000). Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 5, pp. 659-681, October 2009, Available at SSRN: https://ssrn.com/abstract=1487802 or http://dx.doi.org/10.1111/j.1468-0084.2009.00554.x

Wiji Arulampalam (Contact Author)

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom
01203 523471 (Phone)
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IZA Institute of Labor Economics

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

Mark B. Stewart

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom

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