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| Author: | Kyriazidou, E. |
| Title: | Estimation of Dynamic Panel Data Sample Selection Models |
| Journal: | Review of Economic Studies
2001 : VOL. 68(3):236, p. 543-572 |
| Index terms: | ESTIMATION PANEL DATA MODELS |
| Language: | eng |
| 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. The authors 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 m the estimation vanes inversely with the relative magnitude of the sample selection effect in the two periods. |
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