Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854–871) are contingent on the specification of the model. The use of Heckman’s initial conditions combined with observed and not latent lagged dependent variables leads to a counter-intuitive estimati...
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Veröffentlicht in: | Journal of Applied Econometrics 2016-06, Vol.31 (4), p.756-761 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854–871) are contingent on the specification of the model. The use of Heckman’s initial conditions combined with observed and not latent lagged dependent variables leads to a counter-intuitive estimation of the true state dependence. The use of Wooldridge’s initial conditions together with the observed lagged dependent variable and a proper modelling of censoring provides a much more natural estimate of the true state dependence parameters together with a clearer interpretation of the decision to participate in the labour market in the two-tiered model. |
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ISSN: | 0883-7252 1099-1255 |
DOI: | 10.1002/jae.2434 |