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Efficient Semiparametric Scoring Estimation Of Sample Selection Models

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  • Chen, Songnian
  • Lee, Lung-Fei

Abstract

A semiparametric likelihood method is proposed for the estimation of sample selection models. The method is a two-step semiparametric scoring estimation procedure based on an index restriction and kernel estimation. Under some regularity conditions, the estimator is square-root n-consistent and asymptotically normal. The estimator is also asymptotically efficient in the sense that its asymptotic covariance matrix attains the semiparametric efficiency bound under the index restriction. For the binary choice sample selection model, it also attains the efficiency bound under the independence assumption. This method can be applied to the estimation of general sample selection models.

Suggested Citation

  • Chen, Songnian & Lee, Lung-Fei, 1998. "Efficient Semiparametric Scoring Estimation Of Sample Selection Models," Econometric Theory, Cambridge University Press, vol. 14(4), pages 423-462, August.
    • Handle: RePEc:cup:etheor:v:14:y:1998:i:04:p:423-462_14
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    Cited by:

    1. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
    2. Chen, Songnian, 2000. "Efficient estimation of binary choice models under symmetry," Journal of Econometrics, Elsevier, vol. 96(1), pages 183-199, May.
    3. Ralph Bradley & Steven Holden & Robert Mcclelland, 2005. "A Robust Estimation Of The Effects Of Taxation On Charitable Contributions," Contemporary Economic Policy, Western Economic Association International, vol. 23(4), pages 545-554, October.
    4. Zhewen Pan, 2023. "On semiparametric estimation of the intercept of the sample selection model: a kernel approach," Papers 2302.05089, arXiv.org.
    5. Lee, Lung-fei & Rosenzweig, Mark R. & Pitt, Mark M., 1997. "The effects of improved nutrition, sanitation, and water quality on child health in high-mortality populations," Journal of Econometrics, Elsevier, vol. 77(1), pages 209-235, March.
    6. Fisher, Monica G. & Shively, Gerald E. & Buccola, Steven T., 2002. "An Empirical Investigation Of Activity Choice, Labor Allocation, And Forest Use In Southern Malawi," Staff Papers 28616, Purdue University, Department of Agricultural Economics.
    7. Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
    8. Fernández-Sainz, Ana I. & Rodríguez-Póo, Juan M., 2010. "An Empirical Investigation of Parametric and Semiparametric Estimation Methods in Sample Selection Models = Investigación empírica de métodos de estimación paramétricos y semiparamétricos de modelos d," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 99-120, December.
    9. repec:cte:werepe:5821 is not listed on IDEAS
    10. Hisatoshi Tanaka, 2020. "Differentiability of the Conditional Expectation," Working Papers 1920, Waseda University, Faculty of Political Science and Economics.
    11. Song Nian Chen, 2000. "Semiparametric Estimation of Heteroscedastic Binary Sample Selection Model," Econometric Society World Congress 2000 Contributed Papers 0263, Econometric Society.
    12. Liu, Ruixuan & Yu, Zhengfei, 2022. "Sample selection models with monotone control functions," Journal of Econometrics, Elsevier, vol. 226(2), pages 321-342.

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