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.
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