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Two Step Series Estimation of Sample Selection Models

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  • Whitney Newey

Abstract

Sample selection models are important for correcting the effects of non-random sampling. This paper is about semiparametric estimation using a series approximation to the correction term. Regression spline and power series approximations are considered. Asymptotic normality and consistency of an asymptotic variance estimator are shown. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009
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Suggested Citation

  • Whitney Newey, 1999. "Two Step Series Estimation of Sample Selection Models," Working papers 99-04, Massachusetts Institute of Technology (MIT), Department of Economics.
    • Handle: RePEc:mit:worpap:99-04
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