| dc.creator |
Tauchmann, Harald |
|
| dc.date |
2006 |
|
| dc.date.accessioned |
2013-10-16T07:00:39Z |
|
| dc.date.available |
2013-10-16T07:00:39Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/18591 |
|
| dc.identifier |
ppn:511472951 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/18591 |
|
| dc.description |
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 a correction-term are consistent only if certain restrictions apply to the true error-covariance structure.We derive an alternative class of generalizations to the classical Heckman two-step approach that conditions on the entire selection pattern rather than the selection of particular equations and, therefore, uses modified correction-terms. This class of estimators is shown to be consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error. |
|
| dc.language |
eng |
|
| dc.publisher |
|
|
| dc.relation |
RWI Discussion Papers 40 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
C51 |
|
| dc.subject |
C34 |
|
| dc.subject |
C15 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Multivariate sample-selection model |
|
| dc.subject |
censored system of equations |
|
| dc.subject |
Heckman-correction |
|
| dc.title |
A note on consistency of Heckman-type two-step estimators for the multivariate sample-selection model. |
|
| dc.type |
doc-type:workingPaper |
|