Finite sample behavior of two step estimators in selection models
AbstractThe problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. However, very few is known about the finite sample behavior of two step estimators. In this paper we investigate by simulations both bias and finite sample distribution of these estimators when ignoring heteroskedasticity in the sample selection mechanism. It turns out that under conditions traditionally faced by practitioners, the misspecified parametric two step estimator (Heckman, 1979) performs better, in finite sample sizes, than the robust semiparametric one (Ahn and Powell, 1993). Moreover, under very general conditions, we show that the asymptotic bias of the parametric two step estimator is linear in the covariance between the sample selection and the participation equation.
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Bibliographic InfoPaper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 1999-06.
Date of creation: Apr 1999
Date of revision:
Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-07-28 (All new papers)
- NEP-DCM-1999-09-02 (Discrete Choice Models)
- NEP-ECM-1999-07-28 (Econometrics)
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