Semiparametric Estimation of Heteroscedastic Binary Sample Selection Model

Song Nian Chen
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Song Nian Chen: Hong Kong University of Science and Technology

No 263, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: Binary choice sample selection models are widely used in applied economics with large cross-sectional data where heteroscedaticity is typically a serious concern. Existing parametric and semiparametric estimators for the binary selection equation and the outcome equation in such models suffer from serious drawbacks in the presence of heteroscedasticity of unknown form in the latent errors. In this paper we propose some new estimators to overcome these drawbacks under a symmetry condition, robust to both nonnormality and general heterscedasticity. The estimators are shown to be $\sqrt{n}$-consistent and asymptotically normal. We also indicate that our approaches may be extended to other important models.

Date: 2000-08-01
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