On intercept estimation in the sample selection model

Schafgans, Marcia M. A. and Zinde-Walsh, Victoria (2000) On intercept estimation in the sample selection model. EM (380). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on 'identification at infinity' which leads to non-standard convergence rate. Andrews and Schafgans (1998) derived asymptotic results for a smoothed version of the estimator. We examine the optimal bandwidth selection for the estimators and derive asymptotic MSE rates under a wide class of distributional assumptions. We also provide some comparisons of the estimators and practical guidelines.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://sticerd.lse.ac.uk
Additional Information:	© 2000 the authors
Divisions:	Economics STICERD
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C34 - Truncated and Censored Models C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C35 - Discrete Regression and Qualitative Choice Models
Sets:	Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited:	09 Jul 2008 16:42
Last Modified:	03 Jul 2020 23:04
URI:	http://eprints.lse.ac.uk/id/eprint/6868

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