Second Order Approximation for the Average Marginal Effect of Heckman's Two Step Procedure
In this paper we discuss the differences between the average marginal effect and the marginal effect of the average individual in sample selection models, estimated by Heckman's two step procedure. We show that the bias that emerges as a consequence of interchanging them, could be very significant, even in the limit. We suggest a computationally cheap approximation method, which corrects the bias in a large extent. We illustrate the implications of our method with an empirical application of earnings assimilation and a small Monte Carlo simulation.
|Date of creation:||19 Jan 2006|
|Date of revision:|
|Publication status:||Forthcoming in Applied Economics.|
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- Longva,P. & Raaum,O., 2000.
"Earnings assimilation of immigrants in Norway : a reappraisal,"
05/2000, Oslo University, Department of Economics.
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Econometric Society, vol. 47(1), pages 153-61, January.
- Borjas, George J, 1985. "Assimilation, Changes in Cohort Quality, and the Earnings of Immigrants," Journal of Labor Economics, University of Chicago Press, vol. 3(4), pages 463-89, October.
- Atanu Saha & Oral Capps & Patrick Byrne, 1997. "Calculating marginal effects in models for zero expenditures in household budgets using a Heckman-type correction," Applied Economics, Taylor & Francis Journals, vol. 29(10), pages 1311-1316.
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