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Simple methods for consistent estimation of dynamic panel data sample selection models

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dc.contributor.author Al-Sadoon, Majid M.
dc.contributor.author Jiménez-Martín, Sergi
dc.contributor.author Labeaga Azcona, José María
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2020-05-25T09:26:56Z
dc.date.available 2020-05-25T09:26:56Z
dc.date.issued 2019-01-02
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1631
dc.identifier.citation
dc.identifier.uri http://hdl.handle.net/10230/44728
dc.description.abstract We analyse the properties of generalised method of moments-instrumental variables (GMM-IV) estimators of AR(1) dynamic panel data sample selection models. We show the consistency of the first-differenced GMM-IV estimator uncorrected for sample selection of Arellano and Bond (1991) (a property also shared by the Anderson and Hsiao,1982, proposal). Alternatively, the system GMM-IV estimator (Arellano and Bover, 1995, and Blundell and Bond, 1998) shows a moderate bias. We perform a Monte Carlo study to evaluate the finite sample properties of the proposed estimators. Our results confirm the absence of bias of the Arellano and Bond estimator under a variety of circumstances, as well as the small bias of the system estimator, mostly due to the correlation between the individual heterogeneity components in both the outcome and selection equations. However, we must not discard the system estimator because, in small samples, its performance is similar to or even better than that of the Arellano-Bond. These results hold in dynamic models with exogenous, predetermined or endogenous covariates. They are especially relevant for practitioners using unbalanced panels when either there is selection of unknown form or when selection is difficult to model.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1631
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Simple methods for consistent estimation of dynamic panel data sample selection models
dc.title.alternative
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2020-05-25T09:25:46Z
dc.subject.keyword panel data
dc.subject.keyword sample selection
dc.subject.keyword dynamic model
dc.subject.keyword generalized method of moments
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.rights.accessRights info:eu-repo/semantics/openAccess

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