On the estimation of a fixed effects model with selectivity bias

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Abstract

In case of sample selectivity the maximum likelihood estimator of the parameters in a model with fixed effects will not be consistent when the number of time periods is small. In this paper, we present a transformation to eliminate the fixed individual effects and show that the corresponding marginal maximum likelihood estimator is computationally feasible and can be used to estimate the remaining parameters consistently even if number of time periods is finite.
Original languageEnglish
Pages (from-to)267-270
Number of pages4
JournalEconomics Letters
Volume34
Issue number3
DOIs
Publication statusPublished - 1990
Externally publishedYes

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