Finite sample behavior of two step estimators in selection models (Q1855612): Difference between revisions
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scientific article
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| English | Finite sample behavior of two step estimators in selection models |
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Finite sample behavior of two step estimators in selection models (English)
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6 February 2003
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This paper analyzes the performance of two-step parameter estimators in sample selection models when heteroskedasticity in the selection mechanism is ignored. The estimators proposed by \textit{J.J. Heckman} [Econometrica 47, 153-161 (1979; Zbl 0392.62093)] and \textit{H. Ahn} and \textit{J.L. Powell} [J. Econom. 58, No. 1-2, 3-29 (1993; Zbl 0772.62063)] are investigated and compared theoretically (asymptotic bias and consistency) and by simulations (both bias and finite sample properties). The simulation results are presented.
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sample selection models
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finite sample analysis
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heteroskedasticity
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two-step estimator
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semiparametric models
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bias
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information criteria
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selection procedure
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