HETEROSCEDASTICITY IN SELECTIVITY MODELS

Hans van Ophem

No 293150, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: Selectivity models usually consist of two equations: a linear and a qualitative variables equation. This paper investigates the consistency of the ML-estimates of two selectivity models in which the heteroscedasticity of the error term of the linear equation is ignored. Homoscedastic estimation of a heteroscedastic model is proved to yield inconsistent estimates. Some Monte Carlo evidence is also provided.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 36
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293150

DOI: 10.22004/ag.econ.293150

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