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Some identification results in a correlated random coefficients sample selection model

Author

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  • Zhu, Xun
  • Jin, Zequn

Abstract

This paper studies the linear correlated random coefficients model subject to sample selection. The random coefficients can be correlated with one or more covariate components. To address the endogeneity of the covariates, we employ the control function approach, while correcting for sample selection by applying the method of local instrumental variables. We establish that, under particular regularity conditions, the average partial effects and several counterfactual parameters can be identified.

Suggested Citation

  • Zhu, Xun & Jin, Zequn, 2023. "Some identification results in a correlated random coefficients sample selection model," Economics Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004184
    DOI: 10.1016/j.econlet.2023.111392
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    More about this item

    Keywords

    Correlated random coefficient; Sample selection; Control function; Local instrumental variable; Average partial effect;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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