Collinearity and two-step estimation of sample selection models: Problems, origins, and remedies

被引：37

作者：

Leung S.F. ^{[1
]}

Yu S. ^{[2
]}

机构：

[1] Department of Economics, Hong Kong University of Science and Technology, Kowloon, Clear Water Bay

[2] Department of Economics, National Chung Cheng University, Chai-Yi

来源：

Computational Economics | 2000年 / 15卷 / 3期

关键词：

Collinearity problem; Heckman's two-step method; Monte Carlo experiment; Remedy; Sample selection; Wage equation;

D O I：

10.1023/A:1008749011772

中图分类号：

学科分类号：

摘要：

This paper investigates the origins of the collinearity problems encountered in the two-step estimation method for sample selection models. The analysis reveals several critical misconceptions and deficiencies in the literature. Remedies to the collinearity problems are proposed and evaluated. Monte Carlo experiments as well as an empirical example based on Mroz's (1987) data are used to illustrate the practical relevance and importance of the analysis. © 2000 Kluwer Academic Publishers.

引用

页码：173 / 199

页数：26

共 50 条

[1] Two-step series estimation of sample selection models
Newey, Whitney K.
[J]. ECONOMETRICS JOURNAL, 2009, 12 (01): : S217 - S229
[2] Two-Step Estimation of Incomplete Information Social Interaction Models With Sample Selection
Hoshino, Tadao
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 37 (04) : 598 - 612
[3] Sample selection models with a common dummy endogenous regressor in simultaneous equations: A simple two-step estimation
Kim, Kyoo Il
[J]. ECONOMICS LETTERS, 2006, 91 (02) : 280 - 286
[4] Identification and estimation of semiparametric two-step models
Escanciano, Juan Carlos
Jacho-Chavez, David
Lewbel, Arthur
[J]. QUANTITATIVE ECONOMICS, 2016, 7 (02) : 561 - 589
[5] On two-step estimation for varying coefficient models
Young Kyung Lee
[J]. Journal of the Korean Statistical Society, 2013, 42 : 565 - 571
[6] On two-step estimation for varying coefficient models
Lee, Young Kyung
[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2013, 42 (04) : 565 - 571
[7] One-step and two-step estimation in SFA models
Schmidt, Peter
[J]. JOURNAL OF PRODUCTIVITY ANALYSIS, 2011, 36 (02) : 201 - 203
[8] One-step and two-step estimation in SFA models
Peter Schmidt
[J]. Journal of Productivity Analysis, 2011, 36 : 201 - 203
[9] Two-step estimation of panel data models with censored endogenous variables and selection bias
Vella, F
Verbeek, M
[J]. JOURNAL OF ECONOMETRICS, 1999, 90 (02) : 239 - 263
[10] Estimation of sample selection models with two selection mechanisms
Li, Phillip
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2011, 55 (02) : 1099 - 1108

← 1 2 3 4 5 →