Template-type: ReDIF-Paper 1.0
Author-Name: Mohnen, Pierre
Author-Email: p.mohnen@merit.unimaas.nl
Author-Workplace-Name: UNU-MERIT and University of Maastricht
Author-Name: Raymond, Wladimir
Author-Email: w.raymond@ke.unimaas.nl
Author-Workplace-Name: University of Maastricht 
Author-Name: Palm, Franz
Author-Email: f.palm@KE.unimaas.nl
Author-Workplace-Name: University of Maastricht
Author-Name: Schim van der Loeff, Sybrand
Author-Email: s.loeff@ke.unimaas.nl
Author-Workplace-Name: University of Maastricht
Title: The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample 
	 Selection Models 
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.
Classification-JEL: C33, C34, O31
Keywords: panel data, maximum likelihood estimator, dynamic models, sample selection
Series: UNU-MERIT Working Papers
Creation-Date: 2007
Number: 007
File-URL: http://www.merit.unu.edu/publications/wppdf/2007/wp2007-007.pdf
File-Format: application/pdf
File-Size: 275 Kb
Handle: RePEc:unm:unumer:2007007