Semiparametric and nonparametric estimation of sample selection models under symmetry
This paper considers the semiparametric estimation of binary choice sample selection models under a joint symmetry assumption. Our approaches overcome various drawbacks associated with existing estimators. In particular, our method provides root-n consistent estimators for both the intercept and slope parameters of the outcome equation in a heteroscedastic framework, without the usual cross equation exclusion restriction or parametric specification for the error distribution and/or the form of heteroscedasticity. Our two-step estimators are shown to be consistent and asymptotically normal. A Monte Carlo simulation study indicates the usefulness of our approaches.
Year of publication: |
2010
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---|---|
Authors: | Chen, Songnian ; Zhou, Yahong |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 157.2010, 1, p. 143-150
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Publisher: |
Elsevier |
Keywords: | Sample selection models Symmetry distribution Heteroscedasticity |
Saved in:
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