On bias correction in the multivariate sample-selection model

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On bias correction in the multivariate sample-selection model

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Zhuo Chen
Steven T. Yen

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Zhuo Adam Chen

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

Volume (Year): 37 (2005)
Issue (Month): 21 (December)
Pages: 2459-2468
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Handle: RePEc:taf:applec:v:37:y:2005:i:21:p:2459-2468

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Panagiotis Lazaridis, 2004. "Demand elasticities derived from consistent estimation of Heckman-type models," Applied Economics Letters, Taylor and Francis Journals, vol. 11(8), pages 523-527, June. [Downloadable!] (restricted)
Vermeulen, Frederic, 2001. "A Note on Heckman-Type Corrections in Models for Zero Expenditures," Applied Economics, Taylor and Francis Journals, vol. 33(9), pages 1089-92, July. [Downloadable!] (restricted)

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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. [Downloadable!]

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