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|
|Publication status:||Forthcoming in Applied Economics.|
|Contact details of provider:|| Postal: Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden|
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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- Chiswick, Barry R, 1978. "The Effect of Americanization on the Earnings of Foreign-born Men," Journal of Political Economy, University of Chicago Press, vol. 86(5), pages 897-921, October.
- 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 463-489, October.
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- 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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Econometric Society, vol. 47(1), pages 153-161, January.
- Pål Longva & Oddbjørn Raaum, 2003.
"Earnings assimilation of immigrants in Norway – A reappraisal,"
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Springer;European Society for Population Economics, vol. 16(1), pages 177-193, 02.
- Longva,P. & Raaum,O., 2000. "Earnings assimilation of immigrants in Norway : a reappraisal," Memorandum 05/2000, Oslo University, Department of Economics.
- Atanu Saha & Oral Capps & Patrick Byrne, 1997. "Calculating marginal effects in dichotomous - continuous models," Applied Economics Letters, Taylor & Francis Journals, vol. 4(3), pages 181-185.
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