Semiparametric Estimation of a Binary Choice Model with Sample Selection

Jörg Schwiebert

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: In this paper we provide semiparametric estimation strategies for a sample selection model with a binary dependent variable. To the best of our knowledge, this has not been done before. We propose a control function approach based on two di erent identifying assumptions. This gives rise to semiparametric estimators which are extensions of the Klein and Spady (1993), maximum score (Manski, 1975) and smoothed maximum score (Horowitz, 1992) estimators. We provide Monte Carlo evidence and an empirical example to study the nite sample properties of our estimators. Finally, we outline an extension of these estimators to the case of endogenous covariates.

Keywords: Sample selection model; binary dependent variable; semiparametric estimation; control function approach; endogenous covariates (search for similar items in EconPapers)
JEL-codes: C21 C24 C25 C26 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2012-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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