Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity

Arbeitspapier

In this paper, we derive a semiparametric estimation procedure for the sample selection model when some covariates are endogenous. Our approach is to augment the main equation of interest with a control function which accounts for sample selectivity as well as endogeneity of covariates. In contrast to existing methods proposed in the literature, our approach allows that the same endogenous covariates may enter the main and the selection equation. We show that our proposed estimator is \sqrtn-consistent and derive its asymptotic distribution. We provide Monte Carlo evidence on the small sample behavior of our estimator and present an empirical application. Finally, we brie y consider an extension of our model to quantile regression settings and provide guidelines for estimation.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeitrag ; No. 504

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
• Subject: Sample selection model ; semiparametric estimation ; endogenous covariates ; control function approach ; quantile regression

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schwiebert, Jörg
• Event: Veröffentlichung
• (who): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (where): Hannover
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/73121
• Last update: 10.03.2025, 11:44 AM CET