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Title:A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model PDF Logo
Authors:Tauchmann, Harald
Issue Date:2006
Series/Report no.:RWI Discussion Papers 40
Abstract: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.
Subjects:Multivariate sample-selection model
censored system of equations
Document Type:Working Paper
Appears in Collections:RWI Discussion Papers
Publikationen von Forscherinnen und Forschern des RWI

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