On Intercept Estimation in the Sample Selection Model

32 Pages Posted: 21 Jul 2008

See all articles by Marcia Schafgans

Marcia Schafgans

London School of Economics & Political Science (LSE)

Victoria Zinde‐Walsh

McGill University - Department of Economics

Date Written: January 2000

Abstract

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on 'identification at infinity' which leads to non-standard convergence rate. Andrews and Schafgans (1998) derived asymptotic results for a smoothed version of the estimator. We examine the optimal bandwidth selection for the estimators and derive asymptotic MSE rates under a wide class of distributional assumptions. We also provide some comparisons of the estimators and practical guidelines.

JEL Classification: C13, C14

Suggested Citation

Schafgans, Marcia and Zinde-Walsh, Victoria, On Intercept Estimation in the Sample Selection Model (January 2000). LSE STICERD Research Paper No. EM380, Available at SSRN: https://ssrn.com/abstract=1162575

Marcia Schafgans (Contact Author)

London School of Economics & Political Science (LSE) ( email )

Houghton Street
London, WC2A 2AE
United Kingdom

Victoria Zinde-Walsh

McGill University - Department of Economics ( email )

855 Sherbrooke Street West
Montreal, QC H3A 2T7
CANADA
514-398-4834 (Phone)
514-398-4938 (Fax)

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