Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment | Zendy

Xun Zhou | Zendy; Lubrano Michel | Zendy

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Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment

Author(s) -

Xun Zhou,

Lubrano Michel

Publication year - 2015

Publication title -

journal of applied econometrics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 2.878

H-Index - 99

eISSN - 1099-1255

pISSN - 0883-7252

DOI - 10.1002/jae.2434

Subject(s) - tobit model , censoring (clinical trials) , econometrics , estimation , economics , latent variable , panel data , state variable , variable (mathematics) , statistics , mathematics , mathematical analysis , physics , management , thermodynamics

Summary 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. Copyright © 2015 John Wiley & Sons, Ltd.

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