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@article{ Tauchmann2009,
 title = {Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model},
 author = {Tauchmann, Harald},
 journal = {Applied Economics},
 number = {30},
 pages = {3895-},
 volume = {42},
 year = {2009},
 doi = {https://doi.org/10.1080/00036840802360179},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241938},
 abstract = {This analysis shows that multivariate generalizations to the classical Heckman (1976 and 1979) two-step estimator that account for cross-equation correlation and use the inverse Mills ratio as correction-term are consistent only if certain restrictions apply to the true error-covariance structure. An alternative class of generalizations to the classical Heckman two-step approach is derived that condition on the entire selection pattern rather than selection in particular equations and, therefore, use modified correction-terms. It is shown that this class of estimators is consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.},
}