Estimation of dynamic panel data models with sample selection
提出一种估计带有样本选择的动态面板数据模型的新方法，通过后向替代处理滞后因变量，避免弱工具变量问题，并给出一个简单的选择偏差检验。该方法适用于女性动态收入方程估计。
SUMMARY We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively weak assumptions about errors and permits avoiding the weak instruments problem associated with differencing. We also propose a simple test for selection bias that is based on the addition of a selection term to the first‐difference equation and subsequent testing for significance of this term. The methods are applied to estimating dynamic earnings equations for women. Copyright © 2011 John Wiley & Sons, Ltd.