Consistent estimation of panel data sample selection models
Sergi Jimenez-Martin (),
Jose Labeaga and
No 2020-06, Working Papers from FEDEA
We analyse the properties of classical (fixed effect, first-differences and random effects) as well as generalised method of moments-instrumental variables estimators in either static or dynamic panel data sample selection models. We show that the correlation of the unobserved errors is not sufficient for non-consistency to arise, but the presence of common (and/or nonindependent) non-deterministic covariates in the selection and outcome equations is generally necessary.
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