Finite sample behavior of two step estimators in selection models (Q1855612)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Finite sample behavior of two step estimators in selection models |
scientific article; zbMATH DE number 1865435
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite sample behavior of two step estimators in selection models |
scientific article; zbMATH DE number 1865435 |
Statements
Finite sample behavior of two step estimators in selection models (English)
0 references
6 February 2003
0 references
This paper analyzes the performance of two-step parameter estimators in sample selection models when heteroskedasticity in the selection mechanism is ignored. The estimators proposed by \textit{J.J. Heckman} [Econometrica 47, 153-161 (1979; Zbl 0392.62093)] and \textit{H. Ahn} and \textit{J.L. Powell} [J. Econom. 58, No. 1-2, 3-29 (1993; Zbl 0772.62063)] are investigated and compared theoretically (asymptotic bias and consistency) and by simulations (both bias and finite sample properties). The simulation results are presented.
0 references
sample selection models
0 references
finite sample analysis
0 references
heteroskedasticity
0 references
two-step estimator
0 references
semiparametric models
0 references
bias
0 references
information criteria
0 references
selection procedure
0 references
0 references
0 references
0.91575134
0 references
0.91237944
0 references
0.9037812
0 references
0.8907565
0 references
0.87930113
0 references
