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https://hdl.handle.net/10419/18591
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Tauchmann, Harald | en |
dc.date.accessioned | 2009-01-28T15:48:50Z | - |
dc.date.available | 2009-01-28T15:48:50Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/18591 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aRheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) |cEssen | en |
dc.relation.ispartofseries | |aRWI Discussion Papers |x40 | en |
dc.subject.jel | C51 | en |
dc.subject.jel | C34 | en |
dc.subject.jel | C15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Multivariate sample-selection model | en |
dc.subject.keyword | censored system of equations | en |
dc.subject.keyword | Heckman-correction | en |
dc.title | A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 511472951 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:rwidps:40 | en |
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