Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jeconom.2009.10.022
Title: Semiparametric and nonparametric estimation of sample selection models under symmetry
Authors: Chen, S. 
Zhou, Y.
Keywords: Heteroscedasticity
Sample selection models
Symmetry distribution
Issue Date: Jul-2010
Citation: Chen, S., Zhou, Y. (2010-07). Semiparametric and nonparametric estimation of sample selection models under symmetry. Journal of Econometrics 157 (1) : 143-150. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jeconom.2009.10.022
Abstract: This paper considers the semiparametric estimation of binary choice sample selection models under a joint symmetry assumption. Our approaches overcome various drawbacks associated with existing estimators. In particular, our method provides root-n consistent estimators for both the intercept and slope parameters of the outcome equation in a heteroscedastic framework, without the usual cross equation exclusion restriction or parametric specification for the error distribution and/or the form of heteroscedasticity. Our two-step estimators are shown to be consistent and asymptotically normal. A Monte Carlo simulation study indicates the usefulness of our approaches. © 2009 Elsevier B.V. All rights reserved.
Source Title: Journal of Econometrics
URI: http://scholarbank.nus.edu.sg/handle/10635/124333
ISSN: 03044076
DOI: 10.1016/j.jeconom.2009.10.022
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