This paper presents a survey on recent developments in estimation methods, instrumental variables approaches, panel data models, non- and semiparametric models for micro data. Additionally, some tests in these areas are considered. Special attention is paid to problems with weak instruments,...

In this paper, we derive a semiparametric estimation procedure for the sample selection model when some covariates are endogenous. Our approach is to augment the main equation of interest with a control function which accounts for sample selectivity as well as endogeneity of covariates. In...

We provide a semiparametric copula approach for estimating a "classical" sample selection model. We impose that the joint distribution function of unobservables can be characterized by a specifc copula, but the marginal distribution functions are estimated semiparametrically. In contrast to...

In this paper we provide semiparametric estimation strategies for a sample selection model with a binary dependent variable. To the best of our knowledge, this has not been done before. We propose a control function approach based on two di erent identifying assumptions. This gives rise to...

In this paper, we revisit the Mulligan and Rubinstein (2008: Selection, investment and women's relative wages over time. The Quarterly Journal of Economics, 123(3):1061-1110) analysis about the composition of the female workforce in the United States. Using a Heckman selection model, these...

This paper presents a survey on panel data methods in which Iemphasize new developments. Inparticular, linear multilevel models with a new variant are discussed. Furthermore, non-linear, nonparametric and semiparametric models are analyzed. In contrast to linear models there do not exist unified...

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. The divergence rate is independent of the order of integration...

We show that tests for a break in the persistence of a time series in the classical I(0) - I(1) framework have serious size distortions when the actual data generating process exhibits long-range dependencies. We prove that the limiting distribution of a CUSUM of squares based test depends on...

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...