On the estimation of a fixed effects model with selectivity bias

Marno Verbeek

doi:10.1016/0165-1765(90)90129-O

On the estimation of a fixed effects model with selectivity bias

Marno Verbeek

Research output: Contribution to journal › Article › Academic › peer-review

28 Citations (Scopus)

6 Downloads (Pure)

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 language	English
Pages (from-to)	267-270
Number of pages	4
Journal	Economics Letters
Volume	34
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(90)90129-O
Publication status	Published - 1990
Externally published	Yes

Access to Document

10.1016/0165-1765(90)90129-O

OntheEstimationof_1990.pdfFinal published version, 309 KB

http://hdl.handle.net/1765/12662

Cite this

@article{0bd829298e204f60950cbb0a34f58358,

title = "On the estimation of a fixed effects model with selectivity bias",

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.",

author = "Marno Verbeek",

year = "1990",

doi = "10.1016/0165-1765(90)90129-O",

language = "English",

volume = "34",

pages = "267--270",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - On the estimation of a fixed effects model with selectivity bias

AU - Verbeek, Marno

PY - 1990

Y1 - 1990

N2 - 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.

AB - 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.

U2 - 10.1016/0165-1765(90)90129-O

DO - 10.1016/0165-1765(90)90129-O

M3 - Article

SN - 0165-1765

VL - 34

SP - 267

EP - 270

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

On the estimation of a fixed effects model with selectivity bias

Abstract

Access to Document

Fingerprint

Cite this