A Simple Matching Method for Estimating Sample Selection Models Using Experimental Data
AbstractIn this paper estimation of sample selection models using experimental data is considered with some weak restriction imposed on the error distribution. Under a normality setting, the most popular approach is the two-step method proposed by Heckman (1979). But Heckman¡¯s approach relies on the nonlinearity of the probit function (i.e. the nonlinearity of the selection correction function) unless some exclusion restriction is imposed. Furthermore, Heckman¡¯s method is sensitive to the underlying distributional assumption. Following this two-step method, several semiparametric estimators have been proposed for sample selection models by explicitly imposing the exclusion restriction. Using experimental data, this paper proposes a simple semiparametric matching method. There are certain advantages of our estimator over Heckman¡¯s estimator and the existing semiparametric estimators under either the parametric setting and semiparametric setting. We do not rely on the nonlinearity of the selection correction function or the exclusion restriction. In addition, unlike other semiparametric methods, we can also estimate the intercept term in the equation of interest. The estimator is shown to be consistent and asymptotically normal under some regularity conditions. A small monte carlo study illustrates the usefulness of the new estimator.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 6 (2005)
Issue (Month): 1 (May)
Matching method; Experimental data;
Find related papers by JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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