Finite sample behavior of two step estimators in selection models
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.
- Two-step estimation of heteroskedastic sample selection models
- Two-step series estimation of sample selection models
- Estimation of sample selection models with two selection mechanisms
- Consistency of two-step sample selection estimators despite misspecification of distribution
- Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
- Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules
- A note on the estimation of models with sample-selection biases
- An Investigation of the Robustness of the Tobit Estimator to Non-Normality
- Estimation and specification testing in female labor participation models: parametric and semiparametric methods
- Estimation in truncated samples when there is heteroscedasticity
- Estimation of sample selection bias models
- scientific article; zbMATH DE number 3907636 (Why is no real title available?)
- scientific article; zbMATH DE number 88833 (Why is no real title available?)
- Root-N-Consistent Semiparametric Regression
- Sample Selection Bias as a Specification Error
- Semiparametric estimation of censored selection models with a nonparametric selection mechanism
- Semiparametric Estimation of the Intercept of a Sample Selection Model
- Two-step estimation of heteroskedastic sample selection models
- Consistency of two-step sample selection estimators despite misspecification of distribution
- Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator
- Two-step estimation of heteroskedastic sample selection models
- Two-step series estimation of sample selection models
- Robust misspecification tests for the Heckman's two-step estimator
- Estimation of sample selection bias models
- Handling dropout and clustering in longitudinal multicentre clinical trials
- Collinearity and two-step estimation of sample selection models: Problems, origins, and remedies
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