Two-step estimation of simultaneous equation panel data models with censored endogenous variables

F. Vella, M.J.C.M. Verbeek

Research output: Working paperDiscussion paperOther research output

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Abstract

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.
Original languageEnglish
PublisherUnknown Publisher
Number of pages15
Volume1994-55
Publication statusPublished - 1994

Publication series

NameCentER Discussion Paper
Volume1994-55

Fingerprint

Sample selection bias
Simultaneous equations
Endogeneity
Reduced form
Endogenous variables
Two-step estimation
Unobserved heterogeneity
Decomposition
Selection bias
State dependence
Variable selection
Testing
Two-step estimator

Keywords

  • Estimation
  • Panel Data
  • statistics

Cite this

Vella, F., & Verbeek, M. J. C. M. (1994). Two-step estimation of simultaneous equation panel data models with censored endogenous variables. (CentER Discussion Paper; Vol. 1994-55). Unknown Publisher.
Vella, F. ; Verbeek, M.J.C.M. / Two-step estimation of simultaneous equation panel data models with censored endogenous variables. Unknown Publisher, 1994. (CentER Discussion Paper).
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Vella, F & Verbeek, MJCM 1994 'Two-step estimation of simultaneous equation panel data models with censored endogenous variables' CentER Discussion Paper, vol. 1994-55, Unknown Publisher.

Two-step estimation of simultaneous equation panel data models with censored endogenous variables. / Vella, F.; Verbeek, M.J.C.M.

Unknown Publisher, 1994. (CentER Discussion Paper; Vol. 1994-55).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Two-step estimation of simultaneous equation panel data models with censored endogenous variables

AU - Vella, F.

AU - Verbeek, M.J.C.M.

N1 - Pagination: 15

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N2 - This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.

AB - This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.

KW - Estimation

KW - Panel Data

KW - statistics

M3 - Discussion paper

VL - 1994-55

T3 - CentER Discussion Paper

BT - Two-step estimation of simultaneous equation panel data models with censored endogenous variables

PB - Unknown Publisher

ER -

Vella F, Verbeek MJCM. Two-step estimation of simultaneous equation panel data models with censored endogenous variables. Unknown Publisher. 1994. (CentER Discussion Paper).