The sample selection model from a method of moments perspective
The sample selection model from a method of moments perspective
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DOI：
10.1080/07474930600972194
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发表时间：
2007-01-01
影响因子：
1.2
通讯作者：
Wansbeek, Tom
中科院分区：
文献类型：
--
作者：
Meijer, Erik;Wansbeek, Tom
证明了标准样本选择模型的一般两步估计可以看作是矩估计的一种方法，将标准GMM理论应用于该模型，极大地简化了该模型渐近性质的推导。利用这一设置，详细地推导了渐近方差，并得到了它的一个保证是正定的一致估计，而不是文献中给出的估计量。演示了MM方法如何轻松地适应估计器上的变化，如处理内源回归量的两步IV估计器和两步GLS估计器。此外，从MM公式中可以直接推导出各种规格检验，特别是对选择偏差、与删减回归模型的等效性、正态性、同方差性和外源性的检验。
It is shown how the usnal two-step estimator for the standard sample selection model can be seen as a method of moments estimator Standard GMM theory can be brought to bear on this model, greatly simpliftying the derivation of the asymptotic properties of this model. Using this setup, the asymptotic variance is derived in detail and a consistent estimalot of it is obtained that is guaranteed to be positive definite, in contrast with the estimator given in the literature. It is demonstrated how the MM approach easily accommodate's variations on the estimator like the two-step IV estimalor that handles endogenons regressors, and a two-step GLS estimator. Futhermore, it is shown that from the MM formulation, it is straightfoward to derive various specification tests, in particular tests for selection bias, equivalence with the censored regression model, normality, homoskedasticity, and exogeneity.