INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS

B-Tier
Journal: Econometric Theory
Year: 2024
Volume: 40
Issue: 6
Pages: 1311-1363

Authors (3)

Arulampalam, Wiji (University of Warwick) Corradi, Valentina (not in RePEc) Gutknecht, Daniel (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

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

Abstract

We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identified. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal cumulative distribution function of the instrument index is close to one. Data-driven procedures such as cross-validation may be used to select the bandwidth for this estimator. We then consider the case in which the monotonic index restriction does not hold and/or the set of observations with a propensity score close to one is thin so that convergence occurs at a rate that is arbitrarily close to the cubic rate. We explore the finite sample behavior in a Monte Carlo study and illustrate the use of our estimator using a model for count data with multiplicative unobserved heterogeneity.

Technical Details

RePEc Handle
repec:cup:etheor:v:40:y:2024:i:6:p:1311-1363_3
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-24