When Outcome Heterogeneously Matters for Selection – A Generalized Selection Correction Estimator
The classical Heckman (1976, 1979) selection correction estimator (heckit) is misspecified and inconsistent if an interaction of the outcome variable and an explanatory variable matters for selection. To address this specification problem, a full information maximum likelihood estimator and a simple two-step estimator are developed. Monte-Carlo simulations illustrate that the bias of the ordinary heckit estimator is removed by these generalized estimation procedures. Along with OLS and the ordinary heckit procedure, we apply these estimators to data from a randomized trial that evaluates the effectiveness of financial incentives for weight loss among the obese. Estimation results indicate that the choice of the estimation procedure clearly matters.
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- Astrid Grasdal, 2001.
"The performance of sample selection estimators to control for attrition bias,"
John Wiley & Sons, Ltd., vol. 10(5), pages 385-398.
- Grasdal, A., 2000. "The Performance of Sample Selection Estimators to Control for Attrition Bias," Norway; Department of Economics, University of Bergen 0101, Department of Economics, University of Bergen.
- Grasdal, A., 2001. "The Performance of Sample Selection Estimators to Control for Attrition Bias," Norway; Department of Economics, University of Bergen 225, Department of Economics, University of Bergen.
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
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- Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May.
- repec:rwi:repape:0368 is not listed on IDEAS
- Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
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