Finite sample behavior of two step estimators in selection models

Ana Fernandez Sainz, Juan Rodriguez-Poo and Inmaculada Villanua Martin
Additional contact information
Ana Fernandez Sainz: Universidad del Pais Vasco
Juan Rodriguez-Poo: Universidad de Cantabria
Inmaculada Villanua Martin: Universidad de Zaragoza

Computational Statistics, 2002, vol. 17, issue 1, No 1, 16 pages

Abstract: Summary The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. Originally proposed in Heckman (1979) within a fully parametric context, Ahn and Powell (1993) have proposed a semiparametric alternative that is claimed to be asymptotically robust against several misspecification errors. However, very few is known about the finite sample behavior of these estimators. In this paper we investigate theoretically and by simulations both bias and finite sample distribution of these estimators when ignoring heteroskedasticity in the sample selection mechanism.

Keywords: Sample selection models; finite sample analysis; misspecification error; heteroskedasticity; two step estimator; semiparametric models (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s001800200087 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:17:y:2002:i:1:d:10.1007_s001800200087

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/180/PS2

DOI: 10.1007/s001800200087

Access Statistics for this article

Computational Statistics is currently edited by Wataru Sakamoto, Ricardo Cao and Jürgen Symanzik

More articles in Computational Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().