Arbeitspapier
Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 504
- Klassifikation
-
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
- Thema
-
Sample selection model
semiparametric estimation
endogenous covariates
control function approach
quantile regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schwiebert, Jörg
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schwiebert, Jörg
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2012
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