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On bias correction in the multivariate sample-selection model

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  • Zhuo Chen
  • Steven Yen

Abstract

Heien and Wessells' two-step estimator for the multivariate sample-selection model has been used extensively during the past 15 years. A modified version of it, with slightly different selectivity regressors, has also appeared in the empirical literature. Both estimators are unfounded and generally do not correct for the sample selectivity bias as intended but have continued to gain popularity in empirical applications. The properties of the modified Heien-Wessells procedure are investigated in both the bivariate and multivariate contexts, and the conditions under which this estimator fails to correct for sample selectivity are examined. The theoretical properties are demonstrated with a simulated random sample.

Suggested Citation

  • Zhuo Chen & Steven Yen, 2005. "On bias correction in the multivariate sample-selection model," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2459-2468.
  • Handle: RePEc:taf:applec:v:37:y:2005:i:21:p:2459-2468
    DOI: 10.1080/00036840500366346
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    References listed on IDEAS

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    Cited by:

    1. Harald Tauchmann, 2010. "Consistency of Heckman-type two-step estimators for the multivariate sample-selection model," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3895-3902.
    2. Tauchmann, Harald, 2006. "A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model," RWI Discussion Papers 40, RWI - Leibniz-Institut für Wirtschaftsforschung.
    3. Harald Tauchmann, 2006. "A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model," RWI Discussion Papers 0040, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.
    4. Thiele Silke, 2010. "Erhöhung der Mehrwertsteuer für Lebensmittel: Budget- und Wohlfahrtseffekte für Konsumenten / Increase of the Value Added Tax (VAT): Budget- and Welfare- Effects for Consumers," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(1), pages 115-130, February.
    5. repec:zbw:rwidps:0040 is not listed on IDEAS

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