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EFFICIENT SEMIPARAMETRIC SCORING ESTIMATION OF SAMPLE SELECTION MODELS

Published online by Cambridge University Press:  01 August 1998

Songnian Chen
Affiliation:
Hong Kong University of Science and Technology
Lung-Fei Lee
Affiliation:
Hong Kong University of Science and Technology

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.

Type
Research Article
Copyright
© 1998 Cambridge University Press

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