Distribution-free and link-free estimation for the sample selection model
type: Item
instance of: scholarly article
title: Distribution-free and link-free estimation for the sample selection model
zbMATH Open document ID: 0657.62046
DOI: 10.1016/0304-4076(87)90079-0
author: Naihua Duan
author: Ker-Chau Li
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
review text: The prevalent estimation methods for the sample selection model rely heavily on parametric assumptions and are sensitive to departures from the underlying parametric assumptions. We propose an alternative estimation method, the corrected maximum likelihood estimate, which is consistent for the slope vector in the outcome equation up to a multiplicative scalar, even though the parametric model on which the estimate is based might be misspecified. As an important corollary, it follows from our result that \textit{R. J. Olsen}'s [A least squares correction for selectivity bias. Econometrica 48, 1815-1820 (1980)] corrected ordinary least squares estimate is consistent if the outcome equation is linear, without requiring Olsen's assumptions on the joint error distribution.
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 4074211
zbMATH Keywords: sample selection model
zbMATH Keywords: corrected maximum likelihood estimate
zbMATH Keywords: corrected ordinary least squares estimate
MaRDI profile type: Publication
full work available at URL: 0304-4076(87)90079-0
OpenAlex ID: W2040976149
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description: scientific article; zbMATH DE number 4074211