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Testing Exclusion Restrictions at Infinity in the Semiparametric Selection Model

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  • Crépon, Bruno

    () (CREST)

Abstract

The control function in the semiparametric selection model is zero at infinity. This paper proposes additional restrictions of the same type and shows how to use them to test assumed exclusion restrictions necessary for root N estimation of the model. The test is based on the estimated control function and its derivative and takes the form of a GMM step that occurs at infinity. Alternative estimation of the parameters are proposed which do not rely on exclusion restrictions, extending available results for the estimation of the intercept at infinity. Simulations are implemented.

Suggested Citation

  • Crépon, Bruno, 2006. "Testing Exclusion Restrictions at Infinity in the Semiparametric Selection Model," IZA Discussion Papers 2035, Institute for the Study of Labor (IZA).
  • Handle: RePEc:iza:izadps:dp2035
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    Cited by:

    1. Martin Huber & Giovanni Mellace, 2014. "Testing exclusion restrictions and additive separability in sample selection models," Empirical Economics, Springer, vol. 47(1), pages 75-92, August.

    More about this item

    Keywords

    policy evaluation; sample selection; exclusion restriction; semi parametric estimation;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

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