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.
机构:
Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA
City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Hong Kong, Peoples R ChinaUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Hsiao, Cheng
;
Shen, Yan
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Peking Univ, China Ctr Econ Res, Beijing 100871, Peoples R ChinaUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Shen, Yan
;
Wang, Boqing
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机构:
Dept Hlth & Social Serv, Olympia, WA 98504 USAUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Wang, Boqing
;
Weeks, Greg
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机构:
Labor Market & Econ Anal Branch, Employment & Secur Dept, Olympia, WA 98504 USAUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
机构:
Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA
City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Hong Kong, Peoples R ChinaUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Hsiao, Cheng
;
Shen, Yan
论文数: 0引用数: 0
h-index: 0
机构:
Peking Univ, China Ctr Econ Res, Beijing 100871, Peoples R ChinaUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Shen, Yan
;
Wang, Boqing
论文数: 0引用数: 0
h-index: 0
机构:
Dept Hlth & Social Serv, Olympia, WA 98504 USAUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA
Wang, Boqing
;
Weeks, Greg
论文数: 0引用数: 0
h-index: 0
机构:
Labor Market & Econ Anal Branch, Employment & Secur Dept, Olympia, WA 98504 USAUniv So Calif, Dept Econ, Los Angeles, CA 90089 USA