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Consistent estimation of panel data sample selection models

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dc.contributor.authorBaltagi, Badi
dc.contributor.authorJiménez Martin, Sergi
dc.contributor.authorLabeaga Azcona, José María
dc.contributor.authorSadoon, Majid al
dc.contributor.orcidhttps://orcid.org/0000-0003-0469-4479
dc.contributor.orcidhttps://orcid.org/0000-0002-7393-9612
dc.date.accessioned2025-01-24T14:11:50Z
dc.date.available2025-01-24T14:11:50Z
dc.date.issued2023
dc.descriptionThis is the preprint of an article published by Elsevier in Econometrics and Statistics, 2023, available online: https://doi.org/10.1016/j.ecosta.2023.11.003 Este es el preprint de un artículo publicado por Elsevier en Econometrics and Statistics, 2023, disponible en línea: https://doi.org/10.1016/j.ecosta.2023.11.003
dc.description.abstractThe properties of classical panel data estimators including fixed effect, first-differences, random effects, and generalized method of moments-instrumental variables estimators in both static as well as dynamic panel data models are investigated under sample selection. The correlation of the unobserved errors is shown not to be sufficient for the inconsistency of these estimators. A necessary condition for this to arise is the presence of common (and/or non-independent) non-deterministic covariates in the selection and outcome equations. When both equations do not have covariates in common and independent of each other, the fixed effects, and random effects estimators in static models with exogenous covariates are consistent. Furthermore, the first-differenced generalized method of moments estimator uncorrected for sample selection as well as the instrumental variables estimator uncorrected for sample selection are both consistent for autoregressive models even with endogenous covariates. The same results hold when both equations have no covariates in common but are correlated once we account for such correlation. Under the same circumstances, the system generalized method of moments estimator adding more moments from the levels equation has moderate bias. Alternatively, when both equations have common covariates the appropriate correction method is suggested. Serial correlation of the errors being a key determinant for that choice. The finite sample properties of the proposed estimators are evaluated using a Monte Carlo study. Two empirical illustrations are provided.en
dc.description.versionversión original
dc.identifier.citationBadi H. Baltagi, Sergi Jiménez-Martín, José M. Labeaga, Majid al Sadoon, Consistent estimation of panel data sample selection models, Econometrics and Statistics, 2023, , ISSN 2452-3062, https://doi.org/10.1016/j.ecosta.2023.11.003
dc.identifier.doihttps://doi.org/10.1016/j.ecosta.2023.11.003
dc.identifier.issnEconometrics and Statistics
dc.identifier.urihttps://hdl.handle.net/20.500.14468/25503
dc.journal.titleEconometrics and Statistics
dc.language.isoen
dc.publisherELSEVIER
dc.relation.centerFacultades y escuelas::Facultad de Ciencias Económicas y Empresariales
dc.relation.departmentTeoría Económica y Economía Matemática
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject53 Ciencias Económicas
dc.subject.keywordsPanel dataen
dc.subject.keywordsSample selectionen
dc.subject.keywordsGeneralized method of momentsen
dc.subject.keywordsFixed and random effectsen
dc.subject.keywordsDifferenced estimatoren
dc.titleConsistent estimation of panel data sample selection modelses
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
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relation.isAuthorOfPublication.latestForDiscovery6f5ba33d-cb8e-4e81-a634-25499d28afdb
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