Note on the Uniqueness of the Maximum Likelihood Estimator for a Heckman’s Simultaneous Equations Model

Kentaro Akashi and Tetsushi Horie

Econometrics and Statistics, 2025, vol. 34, issue C, 69-77

Abstract: It is shown that the likelihood function of a Heckman’s simultaneous equations model is identified by complementing the approach of parameter transformation. Therefore, the expectation of the log-likelihood function has a single maximum. Thus, the maximum likelihood estimator becomes asymptotically consistent without an initial consistent estimator. Additionally, the approach can show the uniqueness of the log-likelihood functions for the simultaneous Tobit, sample selection (Type 2 Tobit), and simultaneous generalized selectivity models.

JEL-codes: C35 C62 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:34:y:2025:i:c:p:69-77

DOI: 10.1016/j.ecosta.2022.02.004

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