A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model
AbstractThis 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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Bibliographic InfoPaper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung in its series RWI Discussion Papers with number 0040.
Length: 28 pages
Date of creation: Apr 2006
Date of revision:
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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