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

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18591

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DC Field	Value	Language
dc.creator	Tauchmann, Harald	-
dc.date	2006	-
dc.date.accessioned	2013-10-16T07:00:39Z	-
dc.date.available	2013-10-16T07:00:39Z	-
dc.date.issued	2013-10-16	-
dc.identifier	http://hdl.handle.net/10419/18591	-
dc.identifier	ppn:511472951	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18591	-
dc.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.	-
dc.language	eng	-
dc.publisher		-
dc.relation	RWI Discussion Papers 40	-
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen	-
dc.subject	C51	-
dc.subject	C34	-
dc.subject	C15	-
dc.subject	ddc:330	-
dc.subject	Multivariate sample-selection model	-
dc.subject	censored system of equations	-
dc.subject	Heckman-correction	-
dc.title	A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model.	-
dc.type	doc-type:workingPaper	-
Appears in Collections:	EconStor

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