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Two-step estimation of heteroskedastic sample selection models

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  • Donald, Stephen G.

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  • Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    • Handle: RePEc:eee:econom:v:65:y:1995:i:2:p:347-380
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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.
    2. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
    3. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    4. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-345, March.
    5. Newey, Whitney K & Powell, James L & Walker, James R, 1990. "Semiparametric Estimation of Selection Models: Some Empirical Results," American Economic Review, American Economic Association, vol. 80(2), pages 324-328, May.
    6. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
    7. Newey, W.K., 1991. "Consistency and Asymptotic Normality of Nonparametric Projection Estimators," Working papers 584, Massachusetts Institute of Technology (MIT), Department of Economics.
    8. Newey, Whitney K., 1994. "Series Estimation of Regression Functionals," Econometric Theory, Cambridge University Press, vol. 10(1), pages 1-28, March.
    9. repec:bla:ecorec:v:64:y:1988:i:187:p:344-59 is not listed on IDEAS
    10. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    11. Arabmazar, Abbas & Schmidt, Peter, 1981. "Further evidence on the robustness of the Tobit estimator to heteroskedasticity," Journal of Econometrics, Elsevier, vol. 17(2), pages 253-258, November.
    12. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521370905, Enero-Abr.
    13. Andrews, Donald W.K. & Whang, Yoon-Jae, 1990. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Econometric Theory, Cambridge University Press, vol. 6(4), pages 466-479, December.
    14. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    15. James Heckman, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    16. Cragg, John G., 1992. "Quasi-Aitken estimation for heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 179-201.
    17. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521424318, Enero-Abr.
    18. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    19. P.C.B. Phillips, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
    20. Hurd, Michael, 1979. "Estimation in truncated samples when there is heteroscedasticity," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 247-258.
    21. Powell, James L., 1987. "Semiparametric Estimation Of Bivariate Latent Variable Models," SSRI Workshop Series 292689, University of Wisconsin-Madison, Social Systems Research Institute.
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