Heteroskedasticity and heterogeneity in sample-selection models

Alyssa Carlson

Economics Virtual Symposium 2024 from Stata Users Group

Abstract: This presentation provides a practical guide for Stata users on the consequences of heteroskedasticity and heterogeneity in sample-selection models and estimators. First, we review the consequences of heteroskedasticity in the outcome equation, highlighting when standard sample-selection estimators are and are not consistent and how to obtain valid inference using the gtsheckman command. Given the strong implications of heteroskedasticity, we propose three tests to determine if and what type of heteroskedasticity is present. Next we consider the case of heteroskedasticity in both the outcome and sample-selection equation, again utilizing the gtsheckman command to implement a general control function approach. Finally, we extend to the panel-data se

Date: 2024-11-18
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Persistent link: https://EconPapers.repec.org/RePEc:boc:econ24:07

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