Collinearity and two-step estimation of sample selection models: Problems, origins, and remedies

被引：39

作者：

Leung S.F. ^{[1
]}

Yu S. ^{[2
]}

机构：

[1] Department of Economics, Hong Kong University of Science and Technology, Kowloon, Clear Water Bay

[2] Department of Economics, National Chung Cheng University, Chai-Yi

来源：

Computational Economics | 2000年 / 15卷 / 3期

关键词：

Collinearity problem; Heckman's two-step method; Monte Carlo experiment; Remedy; Sample selection; Wage equation;

D O I：

10.1023/A:1008749011772

中图分类号：

学科分类号：

摘要：

This paper investigates the origins of the collinearity problems encountered in the two-step estimation method for sample selection models. The analysis reveals several critical misconceptions and deficiencies in the literature. Remedies to the collinearity problems are proposed and evaluated. Monte Carlo experiments as well as an empirical example based on Mroz's (1987) data are used to illustrate the practical relevance and importance of the analysis. © 2000 Kluwer Academic Publishers.

引用

页码：173 / 199

页数：26

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