Arbeitspapier
Semiparametric selection models with binary outcomes
This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we develop estimators for both the marginal effects and the underlying model parameters. The marginal effect estimator uses only observations where the selection probability is above a certain threshold. A key innovation is that this high probability set is adaptive to the data. The model parameter estimator is a quasi-likelihood estimator based on regular kernels with bias corrections. We establish their large sample properties and provide simulation evidence confirming that these estimators perform well in finite samples.
- Sprache
-
Englisch
- Erschienen in
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Series: Working Paper ; No. 2014-03
- Klassifikation
-
Wirtschaft
- Thema
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Semiparametric Binary Selection
Marginal Effects
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klein, Roger
Shen, Chan
Vella, Francis
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Klein, Roger
- Shen, Chan
- Vella, Francis
- Rutgers University, Department of Economics
Entstanden
- 2014