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Multiplicative-error models with sample selection

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  • Koen Jochmans

    (Département d'économie)

Abstract

This paper presents simple approaches to deal with sample selection in models with multiplicative errors. GMM estimators are constructed for both cross-section data and for panel data. These estimators build only on a specification of the conditional mean of the outcome of interest and are, therefore, semiparametric in nature. In particular, the distribution of unobservables is left unspecified. In the panel-data case, we further allow for group-specific fixed effects whose relation to covariates is left unrestricted. We derive distribution theory for both sampling situations and present Monte Carlo evidence on the finite-sample performance of the approach.

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Paper provided by Sciences Po Departement of Economics in its series Sciences Po Economics Discussion Papers with number 2014-05.

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Date of creation: May 2014
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Handle: RePEc:spo:wpecon:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5

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