Arbeitspapier
A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model
This analysis shows that multivariate generalizations to the classical Heckman (1976 and 1979) two-step estimator that account for cross-equation correlation and use the inverse Mills ratio as a correction-term are consistent only if certain restrictions apply to the true error-covariance structure.We derive an alternative class of generalizations to the classical Heckman two-step approach that conditions on the entire selection pattern rather than the selection of particular equations and, therefore, uses modified correction-terms. This class of estimators is shown to be consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.
- Sprache
-
Englisch
- Erschienen in
-
Series: RWI Discussion Papers ; No. 40
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Statistical Simulation Methods: General
- Thema
-
Multivariate sample-selection model
censored system of equations
Heckman-correction
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tauchmann, Harald
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (wo)
-
Essen
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Tauchmann, Harald
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Entstanden
- 2006
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