Finite sample behavior of two step estimators in selection models

被引：0

作者：

Fernandez Sainz A. ^{[1
]}

Rodriguez-Poo J. ^{[2
]}

Villanua Martin I. ^{[3
]}

机构：

[1] Dpto de Econometria y Estadistica, Universidad del Pais Vasco, 48015 Bilbao, Avda. Lehendakari Aguirre

[2] Dpto de Economia Universidad de Cantabria, 39005 Santander, Avda. de los Castros s/n

[3] Dpto de Analisis Economico, Universidad de Zaragoza, 50005 Zaragoza

来源：

Computational Statistics | 2002年 / 17卷 / 1期

关键词：

Finite sample analysis; Heteroskedasticity; Misspecification error; Sample selection models; Semiparametric models; Two step estimator;

D O I：

10.1007/s001800200087

中图分类号：

学科分类号：

摘要：

The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. Originally proposed in Heckman (1979) within a fully parametric context, Ahn and Powell (1993) have proposed a semiparametric alternative that is claimed to be asymptotically robust against several misspecification errors. However, very few is known about the finite sample behavior of these estimators. In this paper we investigate theoretically and by simulations both bias and finite sample distribution of these estimators when ignoring heteroskedasticity in the sample selection mechanism.

引用

页码：1 / 16

页数：15

共 20 条

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