Two-Step Series Estimation of Sample Selection Models

By Whitney K. Newey. 2009

249 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/cd833114e430cb18a9a76bacb9b433298386b27e

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Citations in the corpus

A Heckman Selection-t Model (2012, methodology): “…methods have been proposed over the years for the analysis of a sample selection model, including a number of semiparametric (e.g., Ahn and Powell 1993; Powell 1994; Newey 1999) and nonparametric (e.g., Das, Newey, and Vella 2003) methods, relaxing the distributional assumption in general.”
Testing exclusion restrictions and additive separability in sample selection models (2014, background): “For example, Cosslett (1991), Gallant and Nychka (1987), Powell (1987), and Newey (2009) relax the distributional assumptions but maintain the single index structure in the selection equation and linearity in the outcome equation.”
Counterfactual distributions with sample selection adjustments: Econometric theory and an application to the Netherlands (2007, background): “Buchinsky (1998a) therefore suggests a series estimator (see also Newey 1988), namely, ĥu(zBγ) = δ0(u) + δ1(u)λ(zBγ) + δ2(u)λ(zBγ) 2 + . . . , where λ(·) is the inverse Mills ratio.”
ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS (2015, background): “Solving this problem is beyond the scope of this paper; see Cattaneo, Jansson, and Newey (2015). Under homoskedasticity of εi ; however, the asymptotic variance n simplifies and admits a correspondingly simple consistent estimator.”
Migrants’ International Transfers and Educational Expenditure: Empirical Evidence from Albania (2010, result): “Cameron and Worswick (2001) find a similar result, with the number of children below five years of age reducing”
Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models (2007, methodology): “To estimate semiparametric generalizations of Heckman's (1979) sample selection model, Gallant and Nychka (1987) proposed the Hermite polynomial sieve MLE, while Newey (1988) and Das et al. (2003) applied the series LS estimation method.”
The Gender Pay Gap In Vietnam, 1993-2002: A Quantile Regression Approach (2007, methodology): “Nga (2002) and Gallup (2004), using data from the first two rounds of the household living standard surveys, report a 10% increase in the annual growth rate of hourly wages.”
Wealth Heterogeneity and the Income Elasticity of Migration (2017, result): “should not affect the standard errors on the first- and second-step coefficients in the model in equation (8) because (i) the moment conditions in the two village-level equations in (8) are orthogonal to the moment condition in the auxiliary OLS household-level regressions used to estimate λv for ea”