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Title:The behavior of the maximum likelihood estimator of dynamic panel data sample selection models PDF Logo
Authors:Raymond, Wladimir
Mohnen, Pierre A.
Palm, Franz
van der Loeff, Sybrand Schim
Issue Date:2007
Series/Report no.:CESifo working paper 1992
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:C34
C51
O33
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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