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The Sample Selection Model from a Method of Moments Perspective

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Author Info

  • Erik Meijer
  • Tom Wansbeek

Abstract

It is shown how the usual two-step estimator for the standard sample selection model can be seen as a method of moments estimator. Standard GMM theory can be brought to bear on this model, greatly simplifying the derivation of the asymptotic properties of this model. Using this setup, the asymptotic variance is derived in detail and a consistent estimator of it is obtained that is guaranteed to be positive definite, in contrast with the estimator given in the literature. It is demonstrated how the MM approach easily accommodates variations on the estimator, like the two-step IV estimator that handles endogenous regressors, and a two-step GLS estimator. Furthermore, it is shown that from the MM formulation, it is straightforward to derive various specification tests, in particular tests for selection bias, equivalence with the censored regression model, normality, homoskedasticity, and exogeneity.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 1 ()
Pages: 25-51

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Handle: RePEc:taf:emetrv:v:26:y:2007:i:1:p:25-51

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Related research

Keywords: GMM; Heckman estimator; Tobit;

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Cited by:
  1. Adeline Delavande & Hans-Peter Kohler, 2012. "The Impact of HIV Testing on Subjective Expectations and Risky Behavior in Malawi," Demography, Springer, vol. 49(3), pages 1011-1036, August.
  2. Anastasia Semykina & Jeffrey M. Woodridge, 2010. "Estimating Panel Data Models in the Presence of Endogeneity and Selection," Working Papers wp2010_10_01, Department of Economics, Florida State University.
  3. Erik Meijer & Arie Kapteyn & Tatiana Andreyeva, 2011. "Internationally comparable health indices," Health Economics, John Wiley & Sons, Ltd., vol. 20(5), pages 600-619, May.
  4. Hasebe, Takuya & Vijverberg, Wim P., 2012. "A Flexible Sample Selection Model: A GTL-Copula Approach," IZA Discussion Papers 7003, Institute for the Study of Labor (IZA).

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