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Endogenous Selection or Treatment Model Estimation (2007)
| Venue: | Journal of Econometrics |
| Citations: | 27 - 7 self |
BibTeX
@ARTICLE{Lewbel07endogenousselection,
author = {Arthur Lewbel},
title = {Endogenous Selection or Treatment Model Estimation},
journal = {Journal of Econometrics},
year = {2007},
pages = {777--806}
}
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Abstract
In a sample selection or treatment effects model, common unobservables may affect both the outcome and the probability of selection in unknown ways. This paper shows that the distribution function of potential outcomes, conditional on covariates, can be identifiedgivenanobservedvariableVthat affects the treatment or selection probability in certain ways and is conditionally independent of the potential outcome equation error terms. Selection model estimators based on this identification are provided, which take the form of either simple weighted averages or GMM or two stage least squares. These estimators permit endogenous and mismeasured regressors. Empirical applications are provided to estimation of a firm investment model and a returns to schooling wage model. Portions of this paper were previously circulated under other titles including, ”Two Stage Least Squares Estimation
Keyphrases
treatment model estimation endogenous selection firm investment model mismeasured regressors simple weighted average common unobservables selection probability empirical application unknown way selection model estimator sample selection wage model treatment effect model distribution function potential outcome equation error term certain way stage least square estimation potential outcome
