EFFICIENT SEMIPARAMETRIC SCORING ESTIMATION OF SAMPLE SELECTION MODELS

B-Tier
Journal: Econometric Theory
Year: 1998
Volume: 14
Issue: 4
Pages: 423-462

Authors (2)

Chen, Songnian (not in RePEc) Lee, Lung-Fei (Ohio State University)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A semiparametric likelihood method is proposed for the estimation of sample selection models. The method is a two-step semiparametric scoring estimation procedure based on an index restriction and kernel estimation. Under some regularity conditions, the estimator is square-root n-consistent and asymptotically normal. The estimator is also asymptotically efficient in the sense that its asymptotic covariance matrix attains the semiparametric efficiency bound under the index restriction. For the binary choice sample selection model, it also attains the efficiency bound under the independence assumption. This method can be applied to the estimation of general sample selection models.

Technical Details

RePEc Handle
repec:cup:etheor:v:14:y:1998:i:04:p:423-462_14
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25