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Estimation of Dynamic Panel Data Sample Selection Models

Ekaterini Kyriazidou
The Review of Economic Studies
Vol. 68, No. 3 (Jul., 2001), pp. 543-572
Published by: Oxford University Press
Stable URL: http://www.jstor.org/stable/2695896
Page Count: 30
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Estimation of Dynamic Panel Data Sample Selection Models
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Abstract

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 selection equation are consistently estimated. In the second step, these estimates are used to construct kernel weights in a manner such that the weight that any two-period individual observation receives in the estimation varies inversely with the relative magnitude of the sample selection effect in the two periods. Under appropriate assumptions, these "kernel-weighted" GMM estimators are consistent and asymptotically normal. The finite sample properties of the proposed estimators are investigated in a small Monte-Carlo study.

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