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Another Look at the Identification at Infinity of Sample Selection Models

  • Arnaud Maurel
  • Xavier D'Haultfoeuille

It is often believed that without instrument, endogenous sample selection models are identified only if a covariate with a large support is available (see, e.g., Chamberlain, 1986, and Lewbel, 2007). We propose a new identification strategy mainly based on the condition that the selection variable becomes independent of the covariates for large values of the outcome. No large support on the covariates is required. Moreover, we prove that this condition is testable. We finally show that our strategy can be applied to the identification of generalized Roy models.

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Paper provided by Duke University, Department of Economics in its series Working Papers with number 11-11.

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Length: 15
Date of creation: 2011
Date of revision:
Handle: RePEc:duk:dukeec:11-11
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  1. Andrews, Donald W K & Schafgans, Marcia M A, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 497-517, July.
  2. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  3. Steinar Str�m & John K. Dagsvik, 2006. "Sectoral labour supply, choice restrictions and functional form," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 803-826.
  4. Carneiro, Pedro & Hansen, Karsten T. & Heckman, James J., 2003. "Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College Choice," IZA Discussion Papers 767, Institute for the Study of Labor (IZA).
  5. Patrick Bayer & Shakeeb Khan & Christopher Timmins, 2008. "Nonparametric Identification and Estimation in a Generalized Roy Model," NBER Working Papers 13949, National Bureau of Economic Research, Inc.
  6. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-94, July.
  7. Willis, Robert J & Rosen, Sherwin, 1979. "Education and Self-Selection," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages S7-36, October.
  8. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
  9. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The identifiability of the mixed proportional hazards competing risks model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 701-710.
  10. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects and Econometric Policy Evaluation," NBER Working Papers 11259, National Bureau of Economic Research, Inc.
  11. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
  12. Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, vol. 32(2), pages 189-218, July.
  13. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
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