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dc.contributor.authorTauchmann, Haralden
dc.date.accessioned2009-01-28T15:48:50Z-
dc.date.available2009-01-28T15:48:50Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/18591-
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
dc.language.isoengen
dc.publisher|aRheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) |cEssenen
dc.relation.ispartofseries|aRWI Discussion Papers |x40en
dc.subject.jelC51en
dc.subject.jelC34en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keywordMultivariate sample-selection modelen
dc.subject.keywordcensored system of equationsen
dc.subject.keywordHeckman-correctionen
dc.titleA Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model-
dc.typeWorking Paperen
dc.identifier.ppn511472951en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:rwidps:40en

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