Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18591
Full metadata record
DC FieldValueLanguage
dc.contributor.authorTauchmann, Haralden_US
dc.date.accessioned2009-01-28T15:48:50Z-
dc.date.available2009-01-28T15:48:50Z-
dc.date.issued2006en_US
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_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aRWI Discussion Papers |x40en_US
dc.subject.jelC51en_US
dc.subject.jelC34en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordMultivariate sample-selection modelen_US
dc.subject.keywordcensored system of equationsen_US
dc.subject.keywordHeckman-correctionen_US
dc.titleA Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn511472951en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:rwidps:40-

Files in This Item:
File
Size
217.19 kB





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