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On bias correction in the multivariate sample-selection model

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  • Zhuo Chen
  • Steven Yen

Abstract

Heien and Wessells' two-step estimator for the multivariate sample-selection model has been used extensively during the past 15 years. A modified version of it, with slightly different selectivity regressors, has also appeared in the empirical literature. Both estimators are unfounded and generally do not correct for the sample selectivity bias as intended but have continued to gain popularity in empirical applications. The properties of the modified Heien-Wessells procedure are investigated in both the bivariate and multivariate contexts, and the conditions under which this estimator fails to correct for sample selectivity are examined. The theoretical properties are demonstrated with a simulated random sample.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 37 (2005)
Issue (Month): 21 ()
Pages: 2459-2468

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Handle: RePEc:taf:applec:v:37:y:2005:i:21:p:2459-2468

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Cited by:
  1. Harald Tauchmann, 2006. "A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model," RWI Discussion Papers 0040, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.

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