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Endogenous Selection Or Treatment Model Estimation

Arthur Lewbel ()

No 462, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: In a sample selection or treatment effects model, common unobservables may affect both the outcome and the probability of selection in unknown ways. This paper shows that the distribution function of potential outcomes, conditional on covariates, can be identified given an observed variable V that affects the treatment or selection probability in certain ways and is conditionally independent of the error terms in a model of potential outcomes. Selection model estimators based on this identification are provided, which take the form of simple weighted averages, GMM, or two stage least squares. These estimators permit endogenous and mismeasured regressors. Empirical applications are provided to estimation of a firm investment model and schooling effects on wages model.

Keywords: sample selection; threshold; censoring; semiparametric; endogenous; instrumental variables; switching regression; average treatment effects; heteroskedasticity; latent variable models (search for similar items in EconPapers)
JEL-codes: C14 C25 C13 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2000-06-01, Revised 2007-06-13
New Economics Papers: this item is included in nep-ecm
Note: This paper was previously titled "Selection Model and Conditional Treatment Effects, Including Endogenous Regressors"
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Journal Article: Endogenous selection or treatment model estimation (2007) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:462

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