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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

Abstract : 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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Submitted on : Friday, January 27, 2017 - 12:14:59 PM
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Zhou Xun, Michel Lubrano. Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment. Journal of Applied Econometrics, 2016, 31 (4), pp.756--761. ⟨10.1002/jae.2434⟩. ⟨hal-01447856⟩

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