Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18591
Authors: 
Tauchmann, Harald
Year of Publication: 
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

Files in This Item:
File
Size
217.19 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.