Resource title

A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model.

Resource image

image for OpenScout resource :: A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model.

Resource description

This analysis shows that multivariate generalizations to the classical Heckman (1976 and 1979) two-step estimator that account for cross-equation correlation and use the inverse Mills ratio as a correction-term are consistent only if certain restrictions apply to the true error-covariance structure.We derive an alternative class of generalizations to the classical Heckman two-step approach that conditions on the entire selection pattern rather than the selection of particular equations and, therefore, uses modified correction-terms. This class of estimators is shown to be consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.

Resource author

Harald Tauchmann

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/18591

Resource license

Adapt according to the presented license agreement and reference the original author.