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Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity

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  • Schwiebert, Jörg

Abstract

In this paper, we derive a semiparametric estimation procedure for the sample selection model when some covariates are endogenous. Our approach is to augment the main equation of interest with a control function which accounts for sample selectivity as well as endogeneity of covariates. In contrast to existing methods proposed in the literature, our approach allows that the same endogenous covariates may enter the main and the selection equation. We show that our proposed estimator is \sqrtn-consistent and derive its asymptotic distribution. We provide Monte Carlo evidence on the small sample behavior of our estimator and present an empirical application. Finally, we brie y consider an extension of our model to quantile regression settings and provide guidelines for estimation.

Suggested Citation

  • Schwiebert, Jörg, 2012. "Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity," Hannover Economic Papers (HEP) dp-504, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  • Handle: RePEc:han:dpaper:dp-504
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Sample selection model; semiparametric estimation; endogenous covariates; control function approach; quantile regression;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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