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dc.contributor.authorTauchmann, Haralden_US
dc.description.abstractThis 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.en_US
dc.relation.ispartofseriesRWI Discussion Papers 40en_US
dc.subject.keywordMultivariate sample-selection modelen_US
dc.subject.keywordcensored system of equationsen_US
dc.titleA note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model.en_US
dc.typeWorking Paperen_US
Appears in Collections:RWI Discussion Papers
Publikationen von Forscherinnen und Forschern des RWI

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