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?: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. (xsd:string)
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?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/00036840802360179 ()
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  • true (xsd:boolean)
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?:inLanguage
  • en (xsd:string)
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?:issueNumber
  • 30 (xsd:string)
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  • Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model (xsd:string)
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?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Applied Economics, 42, 2009, 30, 3895- (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-241938 ()
?:volumeNumber
  • 42 (xsd:string)