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Consistent estimation of panel data sample selection models

Sergi Jimenez-Martin (), Jose Labeaga and Majid Al-Sadoon

No 2020-06, Working Papers from FEDEA

Abstract: 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.

Date: 2020-05
New Economics Papers: this item is included in nep-ecm
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