Econometric Theory

Table of Contents - 2002 - Volume 18, Issue 01  

Econometric Theory (2002), 18:1:40-50 Cambridge University Press
Copyright © 2002 Cambridge University Press

ON INTERCEPT ESTIMATION IN THE SAMPLE SELECTION MODEL

Marcia M.A.  Schafgans a1c1 and Victoria  Zinde-Walsh a2
a1 London School of Economics
a2 McGill University

Abstract

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990, American Economic Review 80, 313–318) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on “identification at infinity,” which leads to nonstandard convergence rate.


Correspondence:
c1 Address correspondence to: Marcia Schafgans, Department of Economics, London School of Economics, London WC2A 2AE, UK; e-mail: m.schafgans@lse.ac.uk.