Semiparametric and nonparametric estimation of sample selection models under symmetry |
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Authors: | Songnian Chen Yahong Zhou |
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Affiliation: | 1. Department of Economics, The Hong Kong University of Science and Technology, China;2. National University of Singapore, Singapore;3. School of Economics, Shanghai University of Finance and Economics, China |
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Abstract: | This paper considers the semiparametric estimation of binary choice sample selection models under a joint symmetry assumption. Our approaches overcome various drawbacks associated with existing estimators. In particular, our method provides root-n consistent estimators for both the intercept and slope parameters of the outcome equation in a heteroscedastic framework, without the usual cross equation exclusion restriction or parametric specification for the error distribution and/or the form of heteroscedasticity. Our two-step estimators are shown to be consistent and asymptotically normal. A Monte Carlo simulation study indicates the usefulness of our approaches. |
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Keywords: | C21 C23 C24 |
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