Cookies?
Library Header Image
LSE Research Online LSE Library Services

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.

[img]
Preview
PDF
Download (205kB) | Preview

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

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics