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Estimation of Dynamic Panel Data Sample Selection Models
动态面板样本选择模型的估计
This paper considers the problem of identification and estimation in panel data sample selection models with a binary selection rule, when the latent equations contain strictly exogenous variables, lags of the dependent variables, and unobserved individual effects. We derive a set of conditional moment restrictions which are then exploited to construct two-step GMM-type estimators for the parameters of the main equation. In the first step, the unknown parameters of the…
Panel Data Discrete Choice Models with Lagged Dependent Variables
含滞后因变量的面板离散选择模型
In this paper, we consider identification and estimation in panel data discrete choice models when the explanatory variable set includes strictly exogenous variables, lags of the endogenous dependent variable as well as unobservable individual-specific effects. For the binary logit model with the dependent variable lagged only once, Chamberlain (1993) gave conditions under which the model is not identified. We present a stronger set of conditions under which the parameters…
Testing for serial correlation in multivariate regression models
Estimation of a Panel Data Sample Selection Model
面板数据样本选择模型的估计
The author considers the problem of estimation in a panel data sample selection model, where both the selection and the regression equation of interest contain unobservable individual-specific effects. He proposes a two-step estimation procedure, which 'differences out' the sample selection effect and the unobservable individual effect from the equation of interest. In the first step, the unknown coefficients of the 'selection' equation are consistently estimated. The…