Semiparametric Estimation of a Binary Choice Model with Sample Selection
AbstractIn this paper we provide semiparametric estimation strategies for a sample selection model with a binary dependent variable. To the best of our knowledge, this has not been done before. We propose a control function approach based on two di erent identifying assumptions. This gives rise to semiparametric estimators which are extensions of the Klein and Spady (1993), maximum score (Manski, 1975) and smoothed maximum score (Horowitz, 1992) estimators. We provide Monte Carlo evidence and an empirical example to study the nite sample properties of our estimators. Finally, we outline an extension of these estimators to the case of endogenous covariates.
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Bibliographic InfoPaper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover with number dp-505.
Length: 35 pages
Date of creation: Oct 2012
Date of revision:
Sample selection model; binary dependent variable; semiparametric estimation; control function approach; endogenous covariates;
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