Collinearity and Two-Step Estimation of Sample Selection Models: Problems, Origins and Remedies
AbstractThis 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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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 419.
Length: 29 pages
Date of creation: 1996
Date of revision:
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Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
Other versions of this item:
- Siu Fai Leung & Shihti Yu, 2000. "Collinearity and Two-Step Estimation of Sample Selection Models: Problems, Origins, and Remedies," Computational Economics, Society for Computational Economics, vol. 15(3), pages 173-199, June.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
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