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On intercept estimation in the sample selection model

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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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en

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application/pdf

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http://eprints.lse.ac.uk/6868/1/On_Intercept_Estimation_in_the_Sample_Selection_Model.pdf

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