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Consistent estimation of panel data sample selection models

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  • Sergi Jiménez-Martín
  • José M. Labeaga
  • Majid al Sadoon

Abstract

We analyse the properties of classical (fixed effect, first-differences and random effects) as well as generalised method of moments-instrumental variables estimators in either static or dynamic panel data sample selection models. We show that the correlation of the unobserved errors is not sufficient for non-consistency to arise, but the presence of common (and/or nonindependent) non-deterministic covariates in the selection and outcome equations is generally necessary.

Suggested Citation

  • Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020. "Consistent estimation of panel data sample selection models," Working Papers 2020-06, FEDEA.
    • Handle: RePEc:fda:fdaddt:2020-06
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    More about this item

    JEL classification:

    • J52 - Labor and Demographic Economics - - Labor-Management Relations, Trade Unions, and Collective Bargaining - - - Dispute Resolution: Strikes, Arbitration, and Mediation
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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