Bias correction for within-group estimation of panel data models with fixed effects and sample selection

Chirok Han and Goeun Lee ()

Economics Letters, 2022, vol. 220, issue C

Abstract: For linear panel data models with fixed effects and sample selection, we correct for selectivity bias in the within-group estimator. The proposed procedure is equivalent to a pooled weighted least squares based on pairwise differences augmented with correction terms. A computationally affordable method of estimating nuisance temporal correlation parameters in the selection equation errors is also proposed. Analytic standard errors are derived for the multi-step estimator. Our method is easier to implement and performs well in comparison to the minimum distance approach according to simulations.

Keywords: Fixed effects; Sample selection; Within-group estimator; Weighted least squares; Pairwise differences (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003561

DOI: 10.1016/j.econlet.2022.110882

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