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@article{ Tauchmann2009, title = {Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model}, author = {Tauchmann, Harald}, journal = {Applied Economics}, number = {30}, pages = {3895-}, volume = {42}, year = {2009}, doi = {https://doi.org/10.1080/00036840802360179}, urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241938}, abstract = {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 correction-term are consistent only if certain restrictions apply to the true error-covariance structure. An alternative class of generalizations to the classical Heckman two-step approach is derived that condition on the entire selection pattern rather than selection in particular equations and, therefore, use modified correction-terms. It is shown that this class of estimators is consistent. In addition, Monte-Carlo results illustrate that these estimators display a smaller mean square prediction error.}, }