The Sample Selection Model from a Method of Moments Perspective

DOI10.1080/07474930600972194MaRDI QIDQ3432678zbMATH OpenOpenAlexFDO

Authors Erik Meijer, Tom Wansbeek

Publication date 18 April 2007

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930600972194

zbMATH Keywords

asymptotic covariance matrixendogenous regressorsgeneralized least squaresGMMHeckman estimatorTOBIT

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Estimation of sample selection models with two selection mechanisms
• ESTIMATION FOR THE GENERAL SAMPLE SELECTION MODELS
• Nonparametric Estimation of Sample Selection Models
• Estimation of a Panel Data Sample Selection Model
• Estimation of sample selection bias models

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A method of moments interpretation of sequential estimators
• A note on the estimation of models with sample-selection biases
• A Small-Sample Estimator for the Sample-Selection Model
• Alternative covariance estimators of the standard Tobit model
• Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity
• Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator
• Econometric analysis of cross section and panel data.
• Estimation of sample selection bias models
• Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator
• scientific article; zbMATH DE number 3509596 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Measurement error and latent variables in econometrics
• On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
• Residual analysis in the grouped and censored normal linear model
• Sample Selection Bias as a Specification Error
• Sample Selection Bias as a Specification Error: A Comment
• SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
• Some Approaches to the Correction of Selectivity Bias
• Specification Tests in Econometrics
• Testing for Sample Selection Bias
• Testing the Normality Assumption in Limited Dependent Variable Models
• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
• Two-step estimation of panel data models with censored endogenous variables and selection bias

Cited in

(6)

• Sample selection and information-theoretic alternatives to GMM
• Method-of-moments estimation and choice of instruments: numerical computations
• Sample selection models with monotone control functions
• Multiplicative-error models with sample selection
• Birnbaum–Saunders sample selection model
• Estimating panel data models in the presence of endogeneity and selection

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