SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL

By Songnian Chen, Shakeeb Khan. Econometric Theory, 2003

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Trading Partners and Trading Volumes:Implementing the Helpman-Melitz-Rubinstein Model Empirically (2015, unknown): “Estimation of linear sample selection models which are robust to non-normality and heteroskedasticity has been studied by Chen and Khan (2003).”
A Test of the Conditional Independence Assumption in Sample Selection Models: A TEST OF THE CONDITIONAL INDEPENDENCE ASSUMPTION (2012, unknown): “For instance, Chen and Khan (2003) impose de facto a new type of exclusion restriction the availability of a regressor that a¤ects the variance but not the location of the dependent variable to identify a multiplicative heteroscedastic model.”
Margins of Multinational Labor Substitution (2006, background): “Moreover, the nonparametric estimator xjt allows for conditional heteroskedasticity of unknown form (and thus presents a nonparametric alternative to Chen and Khan’s (2003) three-step estimator).”
Quantile Selection Models with an Application to Understanding Changes in Wage Inequality (2017, background): “(19) Under the assumption that the support of B given X = x is independent of x, px can be consistently estimated by p̂x = supi∈{1,.”