Heckman's (1979) sample selection model has been employed in three decades of applications of linear regression studies. The formal extension of the method to nonlinear models, however, is of more recent vintage. A generic solution for nonlinear models is proposed in Terza (1998). We have...

Let H 0 (X) be a function that can be nonparametrically estimated. Suppose E [ Y | X ]= F 0 [ X ß 0 H 0 (X) ] . Many models fit this framework, including latent in- dex models with an endogenous regressor and nonlinear models with sample se- lection. We show that the vector ß 0 and unknown...