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A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model

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Author Info
Harald Tauchmann ()

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Abstract

This analysis shows that multivariate generalizations to the classical Heckman (1976 and 1979) two-step estimator that account for cross-equation correlation and use the inverse Mills ratio as a correction-term are consistent only if certain restrictions apply to the true error-covariance structure.We derive an alternative class of generalizations to the classical Heckman two-step approach that conditions on the entire selection pattern rather than the selection of particular equations and, therefore, uses modified correction-terms. This class of estimators is shown to be consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.

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Publisher Info
Paper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung in its series RWI Discussion Papers with number 0040.

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Length: 28 pages
Date of creation: Apr 2006
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Handle: RePEc:rwi:dpaper:0040

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Related research
Keywords: Multivariate sample-selection model; censored system of equations; Heckman-correction;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  1. Heien, Dale & Durham, Cathy, 1991. "A Test of the Habit Formation Hypothesis Using Household Data," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 189-99, May. [Downloadable!] (restricted)
  2. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January. [Downloadable!] (restricted)
  3. Gao, X M & Wailes, Eric J & Cramer, Gail L, 1995. "A Microeconometric Model Analysis of U.S. Consumer Demand for Alcoholic Beverages," Applied Economics, Taylor and Francis Journals, vol. 27(1), pages 59-69, January.
  4. Zhuo Chen & Steven T. Yen, 2005. "On bias correction in the multivariate sample-selection model," Applied Economics, Taylor and Francis Journals, vol. 37(21), pages 2459-2468, December. [Downloadable!] (restricted)
  5. Poirier, Dale J., 1980. "Partial observability in bivariate probit models," Journal of Econometrics, Elsevier, vol. 12(2), pages 209-217, February. [Downloadable!] (restricted)
  6. Heien, Dale & Wessells, Cathy Roheim, 1990. "Demand Systems Estimation with Microdata: A Censored Regression Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 365-71, July.
  7. Nayga, Rodolfo M, Jr & Tepper, Beverly J & Rosenzweig, Lee, 1999. "Assessing the Importance of Health and Nutrition Related Factors on Food Demand: A Variable Preference Investigation," Applied Economics, Taylor and Francis Journals, vol. 31(12), pages 1541-49, December. [Downloadable!] (restricted)
  8. Vermeulen, Frederic, 2001. "A Note on Heckman-Type Corrections in Models for Zero Expenditures," Applied Economics, Taylor and Francis Journals, vol. 33(9), pages 1089-92, July. [Downloadable!] (restricted)
  9. Harald Tauchmann, 2005. "Efficiency of two-step estimators for censored systems of equations: Shonkwiler and Yen reconsidered," Applied Economics, Taylor and Francis Journals, vol. 37(4), pages 367-374, March. [Downloadable!] (restricted)
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