A Full InformationMaximum Likelihood Approach to Estimating the Sample Selection Model with Endogenous Covariates
In this paper we establish a full information maximum likelihood approach to estimating the sample selection model with endogenous covariates. We also provide a test for exogeneity which indicates whether endogeneity is in fact a matter or not. In contrast to other methods proposed in the literature which deal with sample selection and endogeneity, our approach is computationally simple and provides exact asymptotic standard errors derived from common maximum likelihood theory. A Monte Carlo study and an empirical example are presented which indicate that not accounting for endogeneity in sample selection models may lead to severely biased parameter estimates.
|Date of creation:||Nov 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Koenigsworther Platz 1, D-30167 Hannover|
Phone: (0511) 762-5350
Fax: (0511) 762-5665
Web page: http://www.wiwi.uni-hannover.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Card, David, 1999. "The causal effect of education on earnings," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 30, pages 1801-1863 Elsevier.
- Newey, Whitney K., 1987. "Efficient estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 36(3), pages 231-250, November.
When requesting a correction, please mention this item's handle: RePEc:han:dpaper:dp-483. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Heidrich, Christian)
If references are entirely missing, you can add them using this form.