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Multiplicative-error models with sample selection

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  • Koen Jochmans

    (Département d'économie)

Abstract

This paper presents simple approaches to deal with sample selection in models with multiplicative errors. GMM estimators are constructed for both cross-section data and for panel data. These estimators build only on a specification of the conditional mean of the outcome of interest and are, therefore, semiparametric in nature. In particular, the distribution of unobservables is left unspecified. In the panel-data case, we further allow for group-specific fixed effects whose relation to covariates is left unrestricted. We derive distribution theory for both sampling situations and present Monte Carlo evidence on the finite-sample performance of the approach.

Suggested Citation

  • Koen Jochmans, 2014. "Multiplicative-error models with sample selection," Sciences Po publications 2014-05, Sciences Po.
  • Handle: RePEc:spo:wpmain:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5
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    Cited by:

    1. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
    2. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
    3. Chirok Han & Goeun Lee, 2017. "Efficient Estimation of Linear Panel Data Models with Sample Selection and Fixed Effects," Discussion Paper Series 1707, Institute of Economic Research, Korea University.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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