Semiparametric selection models with binary outcomes

Roger Klein (), Chan Shen and Francis Vella
Additional contact information
Chan Shen: Institute for Fiscal Studies

No CWP30/11, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we develop estimators for both the marginal effects and the underlying model parameters. The marginal effect estimator only uses observations which are members of a high probability set in which the selection problem is not present. A key innovation is that this high probability set is data dependent. The model parameter estimator is a quasi-likelihood estimator based on regular kernels with bias corrections. We establish their large sample properties and provide simulation evidence confirming that these estimators perform well in finite samples.

Date: 2011-09-23
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp3011.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to cemmap.ifs.org.uk:80 (No such host is known. )

Related works:
Working Paper: Semiiparametric Selection Models with Binary Outcomes (2014)
Working Paper: Semiparametric Selection Models with Binary Outcomes (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:30/11

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().