Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection

Zhewen Pan, Xianbo Zhou and Yahong Zhou

Journal of Business & Economic Statistics, 2022, vol. 40, issue 1, 141-151

Abstract: This study proposes a semiparametric estimation method for a censored regression model subject to nonparametric sample selection without the exclusion restriction. Consistency and asymptotic normality of the proposed estimator are established under mild regularity conditions. A Monte Carlo simulation study indicates that the estimator performs well in various designs and outperforms parametric maximum likelihood estimators. An empirical application to female smoking is provided to illustrate the usefulness of the estimator.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:40:y:2022:i:1:p:141-151

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DOI: 10.1080/07350015.2020.1784746

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