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Multiplicative-error models with sample selection



Type:   Working paper
Titre:   Multiplicative-error models with sample selection
Auteur(s):   Jochmans, Koen (1982-...) - Département d'économie (Auteur)
Date de publication:   2014-05
Collection:   Sciences Po Economics Discussion Papers  :  2014-05
Résumé:   [en] This paper presents simple approaches to deal with sample selection in models with multiplicative errors. GMM estimators are constructed for both cross-section data and for panel data. These estimators build only on a specification of the conditional mean of the outcome of interest and are, therefore, semiparametric in nature. In particular, the distribution of unobservables is left unspecified. In the panel-data case, we further allow for group-specific fixed effects whose relation to covariates is left unrestricted. We derive distribution theory for both sampling situations and present Monte Carlo evidence on the finite-sample performance of the approach.


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