Multiplicative-error models with sample selection

Koen Jochmans

Journal of Econometrics, 2015, vol. 184, issue 2, 315-327

Abstract: This paper presents a simple approach to deal with sample selection in models with multiplicative errors. Models for non-negative limited dependent variables such as counts fit this framework. The approach builds on a specification of the conditional mean of the outcome only and is, therefore, semiparametric in nature. GMM estimators are constructed for both cross-section data and for panel data. We derive distribution theory and present Monte Carlo evidence on the finite-sample performance of the estimators.

Keywords: Count data; Fixed-effect model; Nonlinear model; Sample selection; Semiparametric inference; Two-stage estimation (search for similar items in EconPapers)
JEL-codes: C14 C21 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Multiplicative-error models with sample selection (2015)
Working Paper: Multiplicative-error models with sample selection (2015)
Working Paper: Multiplicative-error models with sample selection (2014)
Working Paper: Multiplicative-error models with sample selection (2014)
Working Paper: Multiplicative-error models with sample selection (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:184:y:2015:i:2:p:315-327

DOI: 10.1016/j.jeconom.2014.09.011

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