A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model

Harald Tauchmann

No 40, RWI Discussion Papers from RWI - Leibniz-Institut für Wirtschaftsforschung

Abstract: This analysis shows that multivariate generalizations to the classical Heckman (1976 and 1979) two-step estimator that account for cross-equation correlation and use the inverse Mills ratio as a correction-term are consistent only if certain restrictions apply to the true error-covariance structure.We derive an alternative class of generalizations to the classical Heckman two-step approach that conditions on the entire selection pattern rather than the selection of particular equations and, therefore, uses modified correction-terms. This class of estimators is shown to be consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.

Keywords: Multivariate sample-selection model; censored system of equations; Heckman-correction (search for similar items in EconPapers)
JEL-codes: C15 C34 C51 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwidps:40

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