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Nonparametric Estimation of Average Volatility Differentials in Selection Models with an Application to Returns to Schooling

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  • Stacey H. Chen
  • Shakeeb Khan

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Paper provided by University at Albany, SUNY, Department of Economics in its series Discussion Papers with number 03-02.

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Date of creation: 2003
Date of revision:
Handle: RePEc:nya:albaec:03-02

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Postal: Department of Economics, BA 110 University at Albany State University of New York Albany, NY 12222 U.S.A.
Phone: (518) 442-4735
Fax: (518) 442-4736

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Postal: Department of Economics, BA 110 University at Albany State University of New York Albany, NY 12222 U.S.A.
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Web: http://www.albany.edu/economics/research/workingp/index.shtml

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References

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  1. 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, Wiley Blackwell, vol. 65(3), pages 497-517, July.
  2. David Card, 1993. "Using Geographic Variation in College Proximity to Estimate the Return to Schooling," Working Papers, Princeton University, Department of Economics, Industrial Relations Section. 696, Princeton University, Department of Economics, Industrial Relations Section..
  3. Chen, Songnian, 2000. "Rank estimation of a location parameter in the binary choice model," Journal of Econometrics, Elsevier, Elsevier, vol. 98(2), pages 317-334, October.
  4. Chen, Songnian, 1999. "Distribution-free estimation of the random coefficient dummy endogenous variable model," Journal of Econometrics, Elsevier, Elsevier, vol. 91(1), pages 171-199, July.
  5. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, Econometric Society, vol. 54(6), pages 1435-60, November.
  6. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
  7. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  8. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1403-30, November.
  9. Jeffrey R. Kling, 2000. "Interpreting Instrumental Variables Estimates of the Returns to Schooling," NBER Working Papers 7989, National Bureau of Economic Research, Inc.
  10. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 98(2), pages 283-316, October.
  11. Rouse, Cecilia Elena, 1995. "Democratization or Diversion? The Effect of Community Colleges on Educational Attainment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(2), pages 217-24, April.
  12. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 107-128.
  13. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, Elsevier, vol. 58(1-2), pages 3-29, July.
  14. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, Elsevier, vol. 65(2), pages 347-380, February.
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Cited by:
  1. Arthur Lewbel, 2000. "Endogenous Selection Or Treatment Model Estimation," Boston College Working Papers in Economics, Boston College Department of Economics 462, Boston College Department of Economics, revised 13 Jun 2007.

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