Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model

Journal article | Zeitschriftenartikel

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 correction-term are consistent only if certain restrictions apply to the true error-covariance structure. An alternative class of generalizations to the classical Heckman two-step approach is derived that condition on the entire selection pattern rather than selection in particular equations and, therefore, use modified correction-terms. It is shown that this class of estimators is consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.

Angaben zum Objekt

• Umfang: Seite(n): 3895-
• Sprache: Englisch
• Anmerkungen: Status: Postprint; begutachtet (peer reviewed)

Verweise und Beziehungen

• Erschienen in: Applied Economics, 42(30)

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Tauchmann, Harald
• Ereignis: Veröffentlichung
• (wann): 2009

Weitere Informationen

• DOI: https://doi.org/10.1080/00036840802360179
• URN: urn:nbn:de:0168-ssoar-241938
• Rechteinformation: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Letzte Aktualisierung: 21.06.2024, 16:26 MESZ