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DS-HECK: double-lasso estimation of Heckman selection model

Author

Listed:
  • Masayuki Hirukawa

    (Ryukoku University)

  • Di Liu

    (Stata Corp)

  • Irina Murtazashvili

    (Drexel University)

  • Artem Prokhorov

    (University of Sydney Business School
    St.Petersburg State University
    University of Montreal)

Abstract

We extend the Heckman (1979) sample selection model by allowing for a large number of controls that are selected using lasso under a sparsity scenario. The standard lasso estimation is known to under-select causing an omitted variable bias in addition to the sample selection bias. We outline the required adjustments needed to restore consistency of lasso-based estimation and inference for vector-valued parameters of interest in such models. The adjustments include double lasso for both the selection equation and main equation and a correction of the variance matrix. We also connect the estimator with results on redundancy of moment conditions. We demonstrate the effect of the adjustments using simulations and we investigate the determinants of female labor market participation and earnings in the US using the new approach. The paper comes with dsheckman, a dedicated Stata command for estimating double-selection Heckman models.

Suggested Citation

  • Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2024. "DS-HECK: double-lasso estimation of Heckman selection model," Advanced Studies in Theoretical and Applied Econometrics,, Springer.
    • Handle: RePEc:spr:adschp:978-3-031-48385-1_25
    DOI: 10.1007/978-3-031-48385-1_25
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    More about this item

    Keywords

    Heckman; Probit; Double lasso; Post selection inference;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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