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

39 Pages Posted: 11 Jun 2007

See all articles by Wladimir Raymond

Wladimir Raymond

University of Maastricht

Pierre Mohnen

Maastricht University - UNU-MERIT

Franz C. Palm

University of Maastricht - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Sybrand Schim van der Loeff

University of Maastricht

Date Written: May 2007

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.

JEL Classification: C34, C51, O33

Suggested Citation

Raymond, Wladimir and Mohnen, Pierre and Palm, Franz C. and van der Loeff, Sybrand Schim, The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models (May 2007). CESifo Working Paper Series No. 1992, CIRANO - Scientific Publications 2007s-06, Available at SSRN: https://ssrn.com/abstract=992677

Wladimir Raymond

University of Maastricht ( email )

P.O. Box 616
Maastricht, 6200MD
Netherlands

Pierre Mohnen

Maastricht University - UNU-MERIT ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
31-43-3884464 (Phone)
31-43-3884495 (Fax)

Franz C. Palm (Contact Author)

University of Maastricht - Department of Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31-(0)43-3883833 (Phone)
+31-(0)43-3258535 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.cesifo.de

Sybrand Schim Van der Loeff

University of Maastricht ( email )

P.O. Box 616
Maastricht, 6200MD
Netherlands

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
154
Abstract Views
1,161
rank
211,445
PlumX Metrics