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Endogenous Selection Or Treatment Model Estimation

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Author Info
Arthur Lewbel () (Boston College)

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Abstract

In a sample selection or treatment effects model, common unobservables may affect both the outcome and the probability of selection in unknown ways. This paper shows that the distribution function of potential outcomes, conditional on covariates, can be identified given an observed variable V that affects the treatment or selection probability in certain ways and is conditionally independent of the error terms in a model of potential outcomes. Selection model estimators based on this identification are provided, which take the form of simple weighted averages, GMM, or two stage least squares. These estimators permit endogenous and mismeasured regressors. Empirical applications are provided to estimation of a firm investment model and schooling effects on wages model.

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Publisher Info
Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 462.

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Length: 44 pages
Date of creation: 01 Jun 2000
Date of revision: 13 Jun 2007
Handle: RePEc:boc:bocoec:462

Note: This paper was previously titled "Selection Model and Conditional Treatment Effects, Including Endogenous Regressors"
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Related research
Keywords: sample selection; threshold; censoring; semiparametric; endogenous; instrumental variables; switching regression; average treatment effects; heteroskedasticity; latent variable models;

Other versions of this item:

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

This paper has been announced in the following NEP Reports:

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.:
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    Other versions:
  3. Stephen V. Cameron & James J. Heckman, 1998. "Life Cycle Schooling and Dynamic Selection Bias: Models and Evidence for Five Cohorts of American Males," Journal of Political Economy, University of Chicago Press, vol. 106(2), pages 262-333, April. [Downloadable!] (restricted)
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  7. Shakeeb Khan & Arthur Lewbel, 2002. "Weighted and Two Stage Least Squares Estimation of Semiparametric Truncated Regression Models," Boston College Working Papers in Economics 525, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
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  20. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August. [Downloadable!] (restricted)
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  22. Lee, Lung-Fei, 1982. "Some Approaches to the Correction of Selectivity Bias," Review of Economic Studies, Blackwell Publishing, vol. 49(3), pages 355-72, July. [Downloadable!] (restricted)
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  24. McFadden, Daniel L., 1984. "Econometric analysis of qualitative response models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 24, pages 1395-1457 Elsevier. [Downloadable!] (restricted)
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  28. Øivind Anti Nilsen & Fabio Schiantarelli, 2003. "Zeros and Lumps in Investment: Empirical Evidence on Irreversibilities and Nonconvexities," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1021-1037, December. [Downloadable!] (restricted)
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  29. Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April. [Downloadable!] (restricted)
  30. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May. [Downloadable!] (restricted)
  31. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February. [Downloadable!] (restricted)
  32. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
  33. Edward Vytlacil, 2002. "Independence, Monotonicity, and Latent Index Models: An Equivalence Result," Econometrica, Econometric Society, vol. 70(1), pages 331-341, January. [Downloadable!] (restricted)
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    Other versions:
  35. Arthur Lewbel & Oliver Linton & Daniel McFadden, 1997. "Estimating Features of a Distribution from Binomial Data," Boston College Working Papers in Economics 442, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
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  36. Andrews, Donald W K & Schafgans, Marcia M A, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 497-517, July. [Downloadable!] (restricted)
  37. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July. [Downloadable!] (restricted)
    Other versions:
  38. Magnac, Thierry & Maurin, Eric, 2003. "Identification and Information in Monotone Binary Models," IDEI Working Papers 180, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2004. [Downloadable!]
    Other versions:
  39. Wooldridge, Jeffrey M., 1995. "Selection corrections for panel data models under conditional mean independence assumptions," Journal of Econometrics, Elsevier, vol. 68(1), pages 115-132, July. [Downloadable!] (restricted)
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    Other versions:
Full references

Cited by:
(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.)

  1. Guido W. Imbens & Whitney K. Newey, 2002. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," NBER Technical Working Papers 0285, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Oivind A. Nilsen & Kjell G. Salvanes & Fabio Schiantarelli, 2003. "Employment Changes, the Structure of Adjustment Costs, and Plant Size," Boston College Working Papers in Economics 586, Boston College Department of Economics. [Downloadable!]
    Other versions:
  3. Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005. [Downloadable!]
  4. Arthur Lewbel, 2003. "Estimation of Average Treatment Effects With Misclassification," Boston College Working Papers in Economics 556, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
    Other versions:
  5. Arthur Lewbel, 2005. "Simple Endogenous Binary Choice and Selection Panel Model Estimators," Boston College Working Papers in Economics 613, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
  6. d'Haultfoeuille, Xavier & Maurel, Arnaud, 2009. "Another Look at the Identification at Infinity of Sample Selection Models," IZA Discussion Papers 4334, Institute for the Study of Labor (IZA). [Downloadable!]
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This page was last updated on 2009-11-24.

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