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A root-N consistent estimator for some fixed-effects panel data sample selection models

Author

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  • Ai, Chunrong
  • Meng, Meixia

Abstract

The aim of this note is to present a root-N consistent estimator for the regression coefficients in a fixed-effects panel data sample selection model that has one selection equation and two regression equations. Other than the condition that the error terms satisfy a control function type of restriction and the biases are nonzero in both equations. The proposed procedure does not require parameterizing the selection equation nor does it require estimating the selection equation. Moreover, the proposed procedure only requires a standard IV estimation and hence is easy to implement.

Suggested Citation

  • Ai, Chunrong & Meng, Meixia, 2012. "A root-N consistent estimator for some fixed-effects panel data sample selection models," Economics Letters, Elsevier, vol. 116(3), pages 411-413.
    • Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:411-413
    DOI: 10.1016/j.econlet.2012.04.029
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    References listed on IDEAS

    as
    1. Patrick Sevestre & Laszlo Matyas, 2008. "The Econometrics of Panel Data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00279977, HAL.
    2. Ai, Chunrong & Gan, Li, 2010. "An alternative root-n consistent estimator for panel data binary choice models," Journal of Econometrics, Elsevier, vol. 157(1), pages 93-100, July.
    3. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, July.
    4. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
    5. László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1, July-Dece.
    6. Ai, Chunrong & Chen, Chaoying, 1992. "Estimation of a fixed effects bivariate censored regression model," Economics Letters, Elsevier, vol. 40(4), pages 403-406, December.
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    Cited by:

    1. Han, Chirok & Lee, Goeun, 2022. "Bias correction for within-group estimation of panel data models with fixed effects and sample selection," Economics Letters, Elsevier, vol. 220(C).

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    More about this item

    Keywords

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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