Semiparametric and nonparametric estimation of sample selection models under symmetry

Songnian Chen and Yahong Zhou

Journal of Econometrics, 2010, vol. 157, issue 1, 143-150

Abstract: This paper considers the semiparametric estimation of binary choice sample selection models under a joint symmetry assumption. Our approaches overcome various drawbacks associated with existing estimators. In particular, our method provides root-n consistent estimators for both the intercept and slope parameters of the outcome equation in a heteroscedastic framework, without the usual cross equation exclusion restriction or parametric specification for the error distribution and/or the form of heteroscedasticity. Our two-step estimators are shown to be consistent and asymptotically normal. A Monte Carlo simulation study indicates the usefulness of our approaches.

Keywords: Sample; selection; models; Symmetry; distribution; Heteroscedasticity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:1:p:143-150

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