Two-Step Series Estimation of Sample Selection Models
Posted: 26 Jul 2000
Date Written: February 1999
Abstract
Sample selection models are important for correcting for the effects of nonrandom sampling in microeconomic data. This note is about semiparametric estimation using a series approximation to the selection correction term. Regression spline and power series approximations are considered. Consistency and asymptotic normality are shown, as well as consistency of an asymptotic variance estimator.
Keywords: Sample selection models, semiparametric estimation, srieds estimation, two-step estimation
JEL Classification: C14, C24
Suggested Citation: Suggested Citation
Newey, Whitney K., Two-Step Series Estimation of Sample Selection Models (February 1999). Available at SSRN: https://ssrn.com/abstract=235805
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