Two-Step Series Estimation of Sample Selection Models

Posted: 26 Jul 2000

See all articles by Whitney K. Newey

Whitney K. Newey

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

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

Newey, Whitney K., Two-Step Series Estimation of Sample Selection Models (February 1999). Available at SSRN: https://ssrn.com/abstract=235805

Whitney K. Newey (Contact Author)

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

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National Bureau of Economic Research (NBER) ( email )

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