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Estimation of marginal effects in semiparametric selection models with binary outcomes

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  • Klein, Roger
  • Shen, Chan
  • Vella, Francis

Abstract

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we focus on developing an estimator for the marginal effects. This marginal effect estimator uses only observations where the selection probability is above a certain threshold. A key innovation is that this high probability set is adaptive to the data. We establish the large sample properties of the marginal effect estimator as well as those for an index estimator upon which it depends. Monte Carlo studies show that these estimators perform well in finite samples.

Suggested Citation

  • Klein, Roger & Shen, Chan & Vella, Francis, 2015. "Estimation of marginal effects in semiparametric selection models with binary outcomes," Journal of Econometrics, Elsevier, vol. 185(1), pages 82-94.
    • Handle: RePEc:eee:econom:v:185:y:2015:i:1:p:82-94
    DOI: 10.1016/j.jeconom.2014.10.006
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    Cited by:

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    2. Biavaschi, Costanza, 2016. "Recovering the counterfactual wage distribution with selective return migration," Labour Economics, Elsevier, vol. 38(C), pages 59-80.
    3. McGovern, Mark E. & Canning, David & Bärnighausen, Till, 2018. "Accounting for non-response bias using participation incentives and survey design: An application using gift vouchers," Economics Letters, Elsevier, vol. 171(C), pages 239-244.
    4. Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Other publications TiSEM 7899deb9-0eda-47e6-a3b8-2, Tilburg University, School of Economics and Management.
    5. Zhewen Pan, 2023. "On semiparametric estimation of the intercept of the sample selection model: a kernel approach," Papers 2302.05089, arXiv.org.
    6. Chan Shen & Roger Klein, 2017. "Recursive Differencing: Bias Reduction with Regular Kernels," Departmental Working Papers 201701, Rutgers University, Department of Economics.
    7. Chan Shen, 2019. "Recursive Differencing for Estimating Semiparametric Models," Departmental Working Papers 201903, Rutgers University, Department of Economics.
    8. Mark McGovern & David Canning & Till Bärnighausen, 2018. "Accounting for Non-Response Bias using Participation Incentives and Survey Design," CHaRMS Working Papers 18-02, Centre for HeAlth Research at the Management School (CHaRMS).

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