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Collinearity and Two-Step Estimation of Sample Selection Models: Problems, Origins and Remedies

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Author Info
Leung, S.F.
Yu, S.

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Abstract

This paper investigates the origins of the collinearity problems encountered in the two-step estimation method for sample selection models. The analysis reveals several critical misconceptions and deficiencies in the literature. Remedies to the collinearity problems are proposed and evaluated.

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Publisher Info
Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 419.

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Length: 29 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:roc:rocher:419

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Postal: UNIVERSITY OF ROCHESTER, CENTER FOR ECONOMIC RESEARCH, DEPARTMENT OF ECONOMICS, HARKNESS 231 ROCHESTER NEW YORK 14627 U.S.A.

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Related research
Keywords: ECONOMETRICS

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

Cited by:
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  1. Margarita Genius & Elisabetta Strazzera, 2003. "The copula approach of sampling selection modelling: an application to the recreational value of forests," Working Paper CRENoS 200308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  2. Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers 2004.73, Fondazione Eni Enrico Mattei. [Downloadable!]
  3. Elisabetta Strazzera & Margarita Genius & Riccardo Scarpa & George Hutchinson, 2003. "The Effect of Protest Votes on the Estimates of WTP for Use Values of Recreational Sites," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 25(4), pages 461-476, August. [Downloadable!] (restricted)
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This page was last updated on 2008-10-31.

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