Multiplicative-error models with sample selection

Koen Jochmans (1)

1 ECON - Département d'économie (Sciences Po)

This paper presents simple approaches to deal with sample selection in models with multiplicative errors. GMM estimators are constructed for both cross-section data and for panel data. These estimators build only on a specification of the conditional mean of the outcome of interest and are, therefore, semiparametric in nature. In particular, the distribution of unobservables is left unspecified. In the panel-data case, we further allow for group-specific fixed effects whose relation to covariates is left unrestricted. We derive distribution theory for both sampling situations and present Monte Carlo evidence on the finite-sample performance of the approach.

Keywords: nonlinear model; sample selection; semiparametric inference; two-stage estimation

Domains: Economics and Finance

Koen Jochmans. Multiplicative-error models with sample selection. 2014. ⟨hal-00987290⟩