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Another Look at the Identification at Infinity of Sample Selection Models

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Author Info
d'Haultfoeuille, Xavier () (CREST-INSEE)
Maurel, Arnaud () (ENSAE-CREST)

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Abstract

It is often believed that without instrument, endogenous sample selection models are 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 on the condition that the selection variable becomes independent of the covariates when the outcome, not one of the covariates, tends to infinity. No large support on the covariates is required. Moreover, we prove that this condition is testable. We finally show that our strategy can also be applied to the identification of generalized Roy models.

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Publisher Info
Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 4334.

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Length: 14 pages
Date of creation: Jul 2009
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Handle: RePEc:iza:izadps:dp4334

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Related research
Keywords: identification at infinity; sample selection model; Roy model;

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Find related papers by JEL classification:
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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  1. 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. [Downloadable!] (restricted)
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  2. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-94, July. [Downloadable!] (restricted)
  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 Labour Market Policy Evaluation. [Downloadable!]
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  4. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  5. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects and Econometric Policy Evaluation," NBER Working Papers 11259, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Arthur Lewbel, 2000. "Endogenous Selection Or Treatment Model Estimation," Boston College Working Papers in Economics 462, Boston College Department of Economics, revised 13 Jun 2007. [Downloadable!]
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  7. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September. [Downloadable!] (restricted)
  8. Steinar StrØm & 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. [Downloadable!]
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  9. 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. [Downloadable!] (restricted)
  10. 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)
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This page was last updated on 2009-11-23.

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