This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional...

Frontmatter -- Preface -- Acknowledgments -- Contents -- Acronyms -- 1 Introduction -- 2 Linear static models -- 3 Dealing with heterogeneity and endogeneity: fixed effects, IV and GMM -- 4 Outliers, missing values and other data issues -- 5 Linear dynamic models -- 6 Models with limited...

In many countries there is a lack of genuine panel data where specific individuals or firms are followed over time. However, repeated cross-sectional surveys may be available, where a random sample is taken from the population at consecutive points in time. In this paper we discuss the...

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time varying heterogeneity. These include limited dependent variable models with both unobserved individual effects and endogenous explanatory variables, and sample selection models with...