On bias correction in the multivariate sample-selection model

Zhuo Chen; Steven T. Yen

doi:10.1080/00036840500366346

On bias correction in the multivariate sample-selection model

Zhuo Chen, Steven T. Yen

Research output: Journal Publication › Article › peer-review

6 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	2459-2468
Number of pages	10
Journal	Applied Economics
Volume	37
Issue number	21
DOIs	https://doi.org/10.1080/00036840500366346
Publication status	Published - 10 Dec 2005
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/00036840500366346

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title = "On bias correction in the multivariate sample-selection model",

abstract = "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.",

author = "Zhuo Chen and Yen, {Steven T.}",

note = "Funding Information: Research for this paper was funded in part by USDA{\textquoteright}s Economic Research Service under Cooperative Agreements No. 43−3AEM−2−80063 and No. 43−3AEK−4−80048. We thank an anonymous referee for insightful comments and suggestions. The authors are solely responsible for remaining errors.",

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N1 - Funding Information: Research for this paper was funded in part by USDA’s Economic Research Service under Cooperative Agreements No. 43−3AEM−2−80063 and No. 43−3AEK−4−80048. We thank an anonymous referee for insightful comments and suggestions. The authors are solely responsible for remaining errors.

PY - 2005/12/10

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AB - 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.

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JO - Applied Economics

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On bias correction in the multivariate sample-selection model

Abstract

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