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Multiplicative-error models with sample selection

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Koen Jochmans
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Abstract

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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hal-00987290 , version 1 (05-05-2014)

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Attribution - NoDerivatives - CC BY 4.0

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Koen Jochmans. Multiplicative-error models with sample selection. 2014. ⟨hal-00987290⟩
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