### Citations

3411 |
Sample selection bias as a specification error
- Heckman
- 1979
(Show Context)
Citation Context ...é, 1992, Honoré, 1993).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman, 1978, =-=Heckman, 1979-=-; Smith and Blundell, 1986; Rivers and Vuong, 1988; Vella, 1993) by separating the individual effects from these individual specific/time effects. We also capture state dependence in the process gener... |

1196 | Estimation and inference in econometrics - Davidson, MacKinnon - 1993 |

582 |
Analysis of covariance with qualitative data
- Chamberlain
- 1980
(Show Context)
Citation Context ...in Eq. (16), u �� is no longer strictly exogenous in the second step and using a fixed effects or GLS estimator is generally inconsistent (for fixed ). Thus a correlated random effects approach (see =-=Chamberlain, 1980-=-) is required where the second step would include all � Wooldridge only imposes that u �� � X � &N.I.D.(0, σ� � ) for each t, leaving the temporal dependence in u �� unrestricted. The reduced form is ... |

576 |
Dummy Endogenous Variables in a Simultaneous Equation System.” Econometrica 46(4
- Heckman
- 1978
(Show Context)
Citation Context ...dy, 1986; Honoré, 1992, Honoré, 1993).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, =-=Heckman, 1978-=-, Heckman, 1979; Smith and Blundell, 1986; Rivers and Vuong, 1988; Vella, 1993) by separating the individual effects from these individual specific/time effects. We also capture state dependence in th... |

525 |
The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process
- Heckman
- 1981
(Show Context)
Citation Context ...ry variables are likely to be non-stationary, it is not tractable to derive an exact and estimable form of the marginal distribution of hours �� consistent with the conditional model in Eq. (28) (see =-=Heckman, 1981-=-). Our first approach ignores this problem and assumes that the initial value hours �� can be treated as exogenous, i.e. independent of all error components in the model (including the unobserved hete... |

457 | Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models
- Rivers, Vuong
- 1988
(Show Context)
Citation Context ...o incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman, 1978, Heckman, 1979; Smith and Blundell, 1986; =-=Rivers and Vuong, 1988-=-; Vella, 1993) by separating the individual effects from these individual specific/time effects. We also capture state dependence in the process generating the endogeneity/selection bias. Our approach... |

375 |
Panel data and unobservable individual effects
- Hausman, Talyor
- 1981
(Show Context)
Citation Context ...n of conditional maximum likelihood (Smith and Blundell, 1986). Many panel data estimators assume that the endogeneity or selection bias is due to time-invariant individual effects (see, for example, =-=Hausman and Taylor, 1981-=-; Amemiya and MaCurdy, 1986; Honoré, 1992, Honoré, 1993).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators ... |

340 |
An exogeneity test for a simultaneous equation Tobit model with an application to labor supply.
- Smith, Blundell
- 1986
(Show Context)
Citation Context ...y maximum likelihood, where the likelihood function corresponds to the conditional density given the endogenous explanatory variable, we assign it an interpretation of conditional maximum likelihood (=-=Smith and Blundell, 1986-=-). Many panel data estimators assume that the endogeneity or selection bias is due to time-invariant individual effects (see, for example, Hausman and Taylor, 1981; Amemiya and MaCurdy, 1986; Honoré, ... |

270 |
Efficient estimation of limited dependent variable models with endogenous explanatory variables,
- Newey
- 1987
(Show Context)
Citation Context ...ses existing panel data procedures for sample selection and attrition bias (see, for example, Ridder, 1990; Nijman and Verbeek, 1992). Two-step procedures are generally inefficient (see, for example, =-=Newey, 1987-=-) and thus the attraction of our approach, in contrast to maximum likelihood, is its relative computational ease. In some instances, however, our two-step estimator is asymptotically efficient within ... |

242 | A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model - Butler, Moffitt - 1982 |

215 |
Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
- Honore
- 1992
(Show Context)
Citation Context ...ll, 1986). Many panel data estimators assume that the endogeneity or selection bias is due to time-invariant individual effects (see, for example, Hausman and Taylor, 1981; Amemiya and MaCurdy, 1986; =-=Honoré, 1992-=-, Honoré, 1993).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman, 1978, Heckman... |

159 | Estimation of a Panel Data Sample Selection Model.” - Kyriazidou - 1997 |

103 | A method of moments interpretation of sequential estimators,” - Newey - 1984 |

95 |
Generalized Residuals
- Gourieroux, Monfort, et al.
- 1987
(Show Context)
Citation Context ... � , (8) where f (α � � X � , z �� , z � ) denotes the conditional density of α � . The conditional expectation of v �� given X � , z �� , z � and α � is the cross-sectional generalized residual (see =-=Gourieroux et al., 1987-=-) from Eq. (2) as, conditional on α � , the errors from Eq. (2) are independent across observations. The conditional distribution of α � can be derived using the result� f (α � X , z , z )" � � �� � f... |

67 |
Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption
- Nijman, Verbeek
- 1992
(Show Context)
Citation Context ...endence in the process generating the endogeneity/selection bias. Our approach also encompasses existing panel data procedures for sample selection and attrition bias (see, for example, Ridder, 1990; =-=Nijman and Verbeek, 1992-=-). Two-step procedures are generally inefficient (see, for example, Newey, 1987) and thus the attraction of our approach, in contrast to maximum likelihood, is its relative computational ease. In some... |

59 |
Instrumental-variable estimation of an error-components model.
- Amemiya, MaCurdy
- 1986
(Show Context)
Citation Context ...ikelihood (Smith and Blundell, 1986). Many panel data estimators assume that the endogeneity or selection bias is due to time-invariant individual effects (see, for example, Hausman and Taylor, 1981; =-=Amemiya and MaCurdy, 1986-=-; Honoré, 1992, Honoré, 1993).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman,... |

53 |
The Estimation of a Joint Wage-Hours Labor Supply Model,
- Moffitt
- 1984
(Show Context)
Citation Context ...he impact of weekly hours worked on the offered hourly wage rate while accounting for the endogeneity of hours. This issue has attracted attention in the labor economics literature (see, for example, =-=Moffitt, 1984-=-; and Biddle and Zarkin, 1989). The model has the form w �� "x� ���� β � #x� ���� β � #m(hours �� ; β � )#μ � #η �� , (27) hoursH �� "x� ���� θ � #hours ����� θ � #α � #v �� , (28) � A similar argumen... |

51 |
Simulation-Based Inference: A Survey with Special Reference to Panel Data Models
- Gourieroux, Monfort
- 1993
(Show Context)
Citation Context ... , which are assumed to be � A potentially computationally attractive alternative is simulate maximum likelihood, in which the integrals in the log-likelihood function are replaced by simulators (see =-=Gourieroux and Monfort, 1993-=-). Nevertheless, the use of consistent starting values reduces computational costs substantially.242 F. Vella, M. Verbeek / Journal of Econometrics 90 (1999) 239–263 independent across individuals. D... |

37 |
Attrition in multi-wave panel data. In
- Ridder
- 1990
(Show Context)
Citation Context ...ture state dependence in the process generating the endogeneity/selection bias. Our approach also encompasses existing panel data procedures for sample selection and attrition bias (see, for example, =-=Ridder, 1990-=-; Nijman and Verbeek, 1992). Two-step procedures are generally inefficient (see, for example, Newey, 1987) and thus the attraction of our approach, in contrast to maximum likelihood, is its relative c... |

36 | Whose Wages Do Unions Raise? A Dynamic Model of Unionism and Wage Rate Determination for Young Men’, - Vella, Verbeek - 1998 |

34 |
Orthogonality conditions for tobit models with fixed effects and lagged dependent variable,
- Honore
- 1993
(Show Context)
Citation Context ...y panel data estimators assume that the endogeneity or selection bias is due to time-invariant individual effects (see, for example, Hausman and Taylor, 1981; Amemiya and MaCurdy, 1986; Honoré, 1992, =-=Honoré, 1993-=-).� We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman, 1978, Heckman, 1979; Smith ... |

33 |
The asymptotic effect of substituting estimators for parameters in certain types of statistics
- Pierce
- 1982
(Show Context)
Citation Context ...Taylor expansions that �N(θK ���!θ���)"F�� ��� 1 �N � � ��� � ln f � �θ��� #F �� �N(θK ���!θ���) � #o � (1). Using the result that the two terms in square brackets are asymptotically independent (see =-=Pierce, 1982-=-; Parke, 1986) it follows that the conditional ML estimator is asymptotically normal with covariance matrix: » "F�� � �� [F �� #F �� » � F� �� ]F�� �� . F�� is estimated by standard ML programs. In tw... |

17 | Tests of specification in econometrics. - Ruud - 1984 |

16 | Nonparametric instrumental variables estimation,” - Newey, Powell - 1990 |

14 | Autoregressive models with sample selectivity for panel data. In Analysis of Panels and Limited Dependent Variable Models: - Arellano, Bover, et al. - 1999 |

13 |
Pseudo Maximum Likelihood Estimation: The Asymptotic Distribution.
- Parke
- 1986
(Show Context)
Citation Context ...ons that �N(θK ���!θ���)"F�� ��� 1 �N � � ��� � ln f � �θ��� #F �� �N(θK ���!θ���) � #o � (1). Using the result that the two terms in square brackets are asymptotically independent (see Pierce, 1982; =-=Parke, 1986-=-) it follows that the conditional ML estimator is asymptotically normal with covariance matrix: » "F�� � �� [F �� #F �� » � F� �� ]F�� �� . F�� is estimated by standard ML programs. In two cases θK ��... |

3 |
A dynamic panel data model with limited-dependent variables: An application to the demand for tobacco. Working paper, Universitat Pompeu Fabra
- Labeaga
- 1996
(Show Context)
Citation Context ...nformation on the exogenous variables. Apart from its dependence upon the unobserved component α � , the specification of f (z �� �X � , α � ) can be tested separately from the rest of the model (see =-=Labeaga, 1996-=-). The unknown parameters in Eq. (2) can be estimated consistently by maximum likelihood under the usual regularity conditions. With these values we can estimate Eq. (8), which requires an expression ... |