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| Title: | | A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model.  |
| 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 Heckman-correction |
| JEL: | | C51 C34 C15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des RWI RWI Discussion Papers
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