Semiparametric one-step estimation of a sample selection model with endogenous covariates
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In: AStA Advances in Statistical Analysis, Vol. 99, No. 4, 23.10.2015, p. 379-402.
Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - Semiparametric one-step estimation of a sample selection model with endogenous covariates
AU - Schwiebert, Jörg
PY - 2015/10/23
Y1 - 2015/10/23
N2 - This paper considers semiparametric estimation of a sample selection model with endogenous covariates. In contrast to the existing literature, endogenous covariates are explicitly allowed in the main equation of interest as well as in the selection equation. A one-step GMM estimator based on polynomial approximations of unknown functions is proposed. It is shown that the estimator is consistent and has an asymptotic normal distribution. A small-scale simulation study indicates that the estimator performs well in finite samples and that estimators which do not account for the joint presence of sample selectivity and endogeneity of covariates are biased if both sample selectivity and endogeneity of covariates are indeed present. In an empirical application, it is demonstrated that the female returns to education are underestimated if one does not control for the joint presence of sample selectivity and endogeneity of education in main and selection equation.
AB - This paper considers semiparametric estimation of a sample selection model with endogenous covariates. In contrast to the existing literature, endogenous covariates are explicitly allowed in the main equation of interest as well as in the selection equation. A one-step GMM estimator based on polynomial approximations of unknown functions is proposed. It is shown that the estimator is consistent and has an asymptotic normal distribution. A small-scale simulation study indicates that the estimator performs well in finite samples and that estimators which do not account for the joint presence of sample selectivity and endogeneity of covariates are biased if both sample selectivity and endogeneity of covariates are indeed present. In an empirical application, it is demonstrated that the female returns to education are underestimated if one does not control for the joint presence of sample selectivity and endogeneity of education in main and selection equation.
KW - Economics
KW - Endogenous covariates
KW - Generalized method of moments
KW - Sample selection model
KW - Semiparametric estimation
UR - http://www.scopus.com/inward/record.url?scp=84941993254&partnerID=8YFLogxK
U2 - 10.1007/s10182-015-0245-9
DO - 10.1007/s10182-015-0245-9
M3 - Journal articles
VL - 99
SP - 379
EP - 402
JO - AStA Advances in Statistical Analysis
JF - AStA Advances in Statistical Analysis
SN - 1863-8171
IS - 4
ER -