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Heteroscedasticity In Selectivity Models

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  • Ophem, Hans van

Abstract

Selectivity models usually consist of two equations: a linear and a qualitative variables equation. This paper investigates the consistency of the ML-estimates of two selectivity models in which the heteroscedasticity of the error term of the linear equation is ignored. Homoscedastic estimation of a heteroscedastic model is proved to yield inconsistent estimates. Some Monte Carlo evidence is also provided.

Suggested Citation

  • Ophem, Hans van, "undated". "Heteroscedasticity In Selectivity Models," University of Amsterdam, Actuarial Science and Econometrics Archive 293150, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293150
    DOI: 10.22004/ag.econ.293150
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    Research Methods/ Statistical Methods;

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