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Another Look at the Identification at Infinity of Sample Section Models

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  • Xavier d'Haultfoeuille

    (Crest)

  • Arnaud Maurel

    (Crest)

Abstract

It is often believed that without instrument, endogenous sample selection modelsare identified only if a covariate with a large support is available (see Chamberlain,1986, and Lewbel, 2007). We propose a new identification strategy mainly based onthe condition that the selection variable becomes independent of the covariates whenthe outcome, not one of the covariates, tends to infinity. No large support on thecovariates is required. Moreover, we prove that this condition is testable. We finallyshow that our strategy can be applied to the identification of generalized Roy models.

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Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2010-10.

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Date of creation: 2010
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Handle: RePEc:crs:wpaper:2010-10

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  1. Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, vol. 32(2), pages 189-218, July.
  2. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
  3. Carneiro, Pedro & Hansen, Karsten & Heckman, James, 2003. "Estimating distributions of treatment effects with an application to the returns to schooling and measurement of the effects of uncertainty on college choice," Working Paper Series 2003:9, IFAU - Institute for Evaluation of Labour Market and Education Policy.
  4. Andrews, Donald W K & Schafgans, Marcia M A, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 497-517, July.
  5. Steinar Str�m & John K. Dagsvik, 2006. "Sectoral labour supply, choice restrictions and functional form," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 803-826.
  6. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The identifiability of the mixed proportional hazards competing risks model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 701-710.
  7. Willis, Robert J & Rosen, Sherwin, 1979. "Education and Self-Selection," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages S7-36, October.
  8. Patrick Bayer & Shakeeb Khan & Christopher Timmins, 2008. "Nonparametric Identification and Estimation in a Generalized Roy Model," NBER Working Papers 13949, National Bureau of Economic Research, Inc.
  9. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects and Econometric Policy Evaluation," NBER Technical Working Papers 0306, National Bureau of Economic Research, Inc.
  10. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
  11. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  12. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-94, July.
  13. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
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Cited by:
  1. Arnaud Maurel & Xavier D'Haultfoeuille, 2011. "Inference on an Extended Roy Model, with an Application to Schooling Decisions in France," Working Papers 11-10, Duke University, Department of Economics.
  2. Xavier d'Haultfoeuille & Arnaud Maurel, 2010. "Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France," Working Papers 2010-11, Centre de Recherche en Economie et Statistique.

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