 The Sample Selection Model from a Method of Moments PerspectiveErik Meijer and Tom Wansbeek Econometric Reviews, 2007, vol. 26, issue 1, 25-51 Abstract: It is shown how the usual two-step estimator for the standard sample selection model can be seen as a method of moments estimator. Standard GMM theory can be brought to bear on this model, greatly simplifying the derivation of the asymptotic properties of this model. Using this setup, the asymptotic variance is derived in detail and a consistent estimator of it is obtained that is guaranteed to be positive definite, in contrast with the estimator given in the literature. It is demonstrated how the MM approach easily accommodates variations on the estimator, like the two-step IV estimator that handles endogenous regressors, and a two-step GLS estimator. Furthermore, it is shown that from the MM formulation, it is straightforward to derive various specification tests, in particular tests for selection bias, equivalence with the censored regression model, normality, homoskedasticity, and exogeneity. Keywords: GMM; Heckman estimator; Tobit (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:26:y:2007:i:1:p:25-51 Ordering information: This journal article can be ordered from DOI: 10.1080/07474930600972194 Access Statistics for this article Econometric Reviews is currently edited by Dr. Essie Maasoumi More articles in Econometric Reviews from Taylor & Francis Journals |
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