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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18591| Title: | A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model. |
| Keywords: | C51 C34 C15 ddc:330 Multivariate sample-selection model censored system of equations Heckman-correction |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18591 |
| Other Identifiers: | http://hdl.handle.net/10419/18591 ppn:511472951 |
| Appears in Collections: | EconStor |
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