Semiparametric selection models with binary outcomes

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2014-03

Classification and Topics

• Classification: Wirtschaft
• Subject: Semiparametric Binary Selection ; Marginal Effects

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Klein, Roger ; Shen, Chan ; Vella, Francis
• Event: Veröffentlichung
• (who): Rutgers University, Department of Economics
• (where): New Brunswick, NJ
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/123813
• Last update: 10.03.2025, 11:44 AM CET