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

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  • Tauchmann, Harald

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.

Suggested Citation

  • Tauchmann, Harald, 2006. "A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model," RWI Discussion Papers 40, RWI - Leibniz-Institut für Wirtschaftsforschung.
    • Handle: RePEc:zbw:rwidps:40
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    References listed on IDEAS

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    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
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    5. Zhuo Chen & Steven Yen, 2005. "On bias correction in the multivariate sample-selection model," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2459-2468.
    6. Harald Tauchmann, 2005. "Efficiency of two-step estimators for censored systems of equations: Shonkwiler and Yen reconsidered," Applied Economics, Taylor & Francis Journals, vol. 37(4), pages 367-374.
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    10. J. Scott Shonkwiler & Steven T. Yen, 1999. "Two-Step Estimation of a Censored System of Equations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(4), pages 972-982.
    11. Steven T. Yen, 2005. "A Multivariate Sample-Selection Model: Estimating Cigarette and Alcohol Demands with Zero Observations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(2), pages 453-466.
    12. Steven Yen & Kamhon Kan & Shew-Jiuan Su, 2002. "Household demand for fats and oils: two-step estimation of a censored demand system," Applied Economics, Taylor & Francis Journals, vol. 34(14), pages 1799-1806.
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    More about this item

    Keywords

    Multivariate sample-selection model; censored system of equations; Heckman-correction;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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