On Intercept Estimation in the Sample Selection Model

Marcia M. A. Schafgans
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Marcia M. A. Schafgans: London School of Economics

No 730, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on "identification at infinity" which leads to non-standard convergence rate. Andrews and Schafgans (1998) derived asymptotic results for a smoothed version of the estimator. We examine the optimal bandwidth selection for the estimators and derive asymptotic MSE rates under a wide class of distributional assumptions. We also provide some comparisons of the estimators and practical guidelines.

Date: 2000-08-01
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