Estimating panel data models in the presence of endogeneity and selection

被引:332
作者
Semykina, Anastasia [1 ]
Wooldridge, Jeffrey M. [2 ]
机构
[1] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA
[2] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA
关键词
Fixed effects; Instrumental variables; Sample selection; Mills ratio; Semiparametric; CROSS-SECTION; SERIES;
D O I
10.1016/j.jeconom.2010.03.039
中图分类号
F [经济];
学科分类号
02 ;
摘要
We consider estimation of panel data models with sample selection when the equation of interest contains endogenous explanatory variables as well as unobserved heterogeneity. Assuming that appropriate instruments are available, we propose several tests for selection bias and two estimation procedures that correct for selection in the presence of endogenous regressors. The tests are based on the fixed effects two-stage least squares estimator, thereby permitting arbitrary correlation between unobserved heterogeneity and explanatory variables. The first correction procedure is parametric and is valid under the assumption that the errors in the selection equation are normally distributed. The second procedure estimates the model parameters semiparametrically using series estimators. In the proposed testing and correction procedures, the error terms may be heterogeneously distributed and serially dependent in both selection and primary equations. Because these methods allow for a rather flexible structure of the error variance and do not impose any nonstandard assumptions on the conditional distributions of explanatory variables, they provide a useful alternative to the existing approaches presented in the literature. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码:375 / 380
页数:6
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