On bias correction in the multivariate sample-selection model

Zhuo Chen, Steven T. Yen

Research output: Journal PublicationArticlepeer-review

6 Citations (Scopus)


Heien and Wessells' two-step estimator for the multivariate sample-selection model has been used extensively during the past 15 years. A modified version of it, with slightly different selectivity regressors, has also appeared in the empirical literature. Both estimators are unfounded and generally do not correct for the sample selectivity bias as intended but have continued to gain popularity in empirical applications. The properties of the modified Heien-Wessells procedure are investigated in both the bivariate and multivariate contexts, and the conditions under which this estimator fails to correct for sample selectivity are examined. The theoretical properties are demonstrated with a simulated random sample.

Original languageEnglish
Pages (from-to)2459-2468
Number of pages10
JournalApplied Economics
Issue number21
Publication statusPublished - 10 Dec 2005
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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