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Foul or Fair?

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  • Puhani, Patrick A.

Abstract

This paper gives a short overview of Monte Carlo studies on the usefulness of Heckman?s (1976, 1979) two?step estimator for estimating a selection model. It shows that exploratory work to check for collinearity problems is strongly recommended before deciding on which estimator to apply. In the absence of collinearity problems, the full?information maximum likelihood estimator is preferable to the limited?information two?step method of Heckman, although the latter also gives reasonable results. If, however, collinearity problems prevail, subsample OLS (or the Two?Part Model) is the most robust amongst the simple?to? calculate estimators. --

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Bibliographic Info

Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 97-07.

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Date of creation: 1997
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Handle: RePEc:zbw:zewdip:5116

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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 817-38, May.
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  3. Nawata, Kazumitsu, 1993. "A note on the estimation of models with sample-selection biases," Economics Letters, Elsevier, Elsevier, vol. 42(1), pages 15-24.
  4. Little, Roderick J A, 1985. "A Note about Models for Selectivity Bias," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1469-74, November.
  5. Olsen, Randall J, 1982. "Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(1), pages 223-40, February.
  6. Leung, Siu Fai & Yu, Shihti, 1996. "On the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, Elsevier, vol. 72(1-2), pages 197-229.
  7. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, Econometric Society, vol. 47(1), pages 153-61, January.
  8. Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, Elsevier, vol. 32(2), pages 189-218, July.
  9. Nelson, Forrest D., 1984. "Efficiency of the two-step estimator for models with endogenous sample selection," Journal of Econometrics, Elsevier, Elsevier, vol. 24(1-2), pages 181-196.
  10. Duan, Naihua, et al, 1983. "A Comparison of Alternative Models for the Demand for Medical Care," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 1(2), pages 115-26, April.
  11. Hay, Joel W & Olsen, Randall J, 1984. "Let Them Eat Cake: A Note on Comparing Alternative Models of the Demand for Medical Care," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 2(3), pages 279-82, July.
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  13. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, Econometric Society, vol. 56(4), pages 931-54, July.
  14. Duncan, Gregory M., 1986. "A semi-parametric censored regression estimator," Journal of Econometrics, Elsevier, Elsevier, vol. 32(1), pages 5-34, June.
  15. Stern, Steven, 1996. "Semiparametric estimates of the supply and demand effects of disability on labor force participation," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 49-70.
  16. Paarsch, Harry J., 1984. "A Monte Carlo comparison of estimators for censored regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 24(1-2), pages 197-213.
  17. Lee, Myoung-Jae, 1996. "Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 12(02), pages 305-330, June.
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  21. Lee, Lung-Fei, 1982. "Some Approaches to the Correction of Selectivity Bias," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(3), pages 355-72, July.
  22. Newey, Whitney K & Powell, James L & Walker, James R, 1990. "Semiparametric Estimation of Selection Models: Some Empirical Results," American Economic Review, American Economic Association, American Economic Association, vol. 80(2), pages 324-28, May.
  23. Olsen, Randall J, 1980. "A Least Squares Correction for Selectivity Bias," Econometrica, Econometric Society, Econometric Society, vol. 48(7), pages 1815-20, November.
  24. Manning, W. G. & Duan, N. & Rogers, W. H., 1987. "Monte Carlo evidence on the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 59-82, May.
  25. repec:cup:etheor:v:12:y:1996:i:2:p:305-30 is not listed on IDEAS
  26. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 507-12, March.
  27. Melino, Angelo, 1982. "Testing for Sample Selection Bias," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(1), pages 151-53, January.
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Cited by:
  1. Uschi Backes-Gellner & Johannes Mure & Simone Tuor, 2006. "The Puzzle of Non-Participation in Continuing Training – An Empirical Study of Permanent vs. Occasional Non-Participation," Economics of Education Working Paper Series, University of Zurich, Institute for Strategy and Business Economics (ISU) 0004, University of Zurich, Institute for Strategy and Business Economics (ISU).
  2. Stefan M. Golder, 2000. "Endowment or Discrimination? An Analysis of Immigrant–Native Earnings Differentials in Switzerland," Kiel Working Papers 967, Kiel Institute for the World Economy.

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