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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. Phillips, P C B, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 344-359, December.
    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.
    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. Heckman, James, 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.
    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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    Citations

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    Cited by:

    1. Huber, Martin & Melly, Blaise, 2011. "Quantile Regression in the Presence of Sample Selection," Economics Working Paper Series 1109, University of St. Gallen, School of Economics and Political Science.
    2. Stacey Chen, 2003. "Nonparametric Estimation of Average Volatility Differentials in Selection Models with an Application to Returns to Schooling," Discussion Papers 03-02, University at Albany, SUNY, Department of Economics.
    3. Manuel Arellano & Stéphane Bonhomme, 2017. "Quantile Selection Models With an Application to Understanding Changes in Wage Inequality," Econometrica, Econometric Society, vol. 85, pages 1-28, January.
    4. D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
    5. Manuel Arellano & Stéphane Bonhomme, 2017. "Sample Selection in Quantile Regression: A Survey," Working Papers wp2018_1702, CEMFI.
    6. Xavier D’Haultfoeuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2020. "Estimating selection models without an instrument with Stata," Stata Journal, StataCorp LP, vol. 20(2), pages 297-308, June.
    7. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
    8. Manuel Arellano & Stéphane Bonhomme, 2017. "Sample Selection in Quantile Regression: A Survey," Working Papers wp2017_1702, CEMFI.
    9. Ana Fernandez Sainz & Juan Rodriguez-Poo & Inmaculada Villanua Martin, 2002. "Finite sample behavior of two step estimators in selection models," Computational Statistics, Springer, vol. 17(1), pages 1-16, March.
    10. James E. Prieger, "undated". "A Generalized Parametric Selection Model for Non-Normal Data," Department of Economics 00-09, California Davis - Department of Economics.
    11. Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020. "Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes," De Economist, Springer, vol. 168(4), pages 519-540, December.
    12. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
    13. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
    14. Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020. "Dispersion estimation; Earnings risk; Censoring; Quantile regression; Occupational choice; Sorting; Risk preferences; SOEP; IABS," ECONtribute Discussion Papers Series 028, University of Bonn and University of Cologne, Germany.
    15. Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
    16. Bo E. Honore & Luojia Hu, 2021. "Sample Selection Models Without Exclusion Restrictions: Parameter Heterogeneity and Partial Identification," Working Paper Series WP 2022-33, Federal Reserve Bank of Chicago.
    17. Songnian Chen & Yahong Zhou, 2005. "A Simple Matching Method for Estimating Sample Selection Models Using Experimental Data," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 155-167, May.
    18. Lee Adkins & R. Carter Hill, 2007. "Bootstrap Inferences in Heteroscedastic Sample Selection Models: A Monte Carlo Investigation," Economics Working Paper Series 0710, Oklahoma State University, Department of Economics and Legal Studies in Business.
    19. James E. Prieger, "undated". "A Generalized Parametric Selection Model for Non-Normal Data," Department of Economics 00-09, California Davis - Department of Economics.
    20. Martin Huber & Blaise Melly, 2012. "A test of the conditional independence assumption in sample selection models," Working Papers 2012-11, Brown University, Department of Economics.
    21. Sungwon Lee, 2020. "Nonparametric Identification and Estimation of Panel Quantile Models with Sample Selection," Working Papers 2012, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    22. Hedoui, M. Amine & Beghin, John C., 2022. "Decomposing the impact of GMO regulation on bilateral trade: An application to corn trade," Staff Papers 329344, University of Nebraska-Lincoln, Department of Agricultural Economics.

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