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Faculty of Economics

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Jochmans, K.

Multiplicative-Error Models with Sample Selection

Journal of Econometrics

Abstract: This paper presents a simple approach to deal with sample selection in models with multiplicative errors. Models for non-negative limited dependent variables such as counts fit this framework. The approach builds on a specification of the conditional mean of the outcome only and is, therefore, semiparametric in nature. GMM estimators are constructed for both cross-section data and for panel data. We derive distribution theory and present Monte Carlo evidence on the finite-sample performance of the estimators.

Keywords: Count data, Fixed-effect model, Nonlinear model, Sample selection, Semiparametric inference, Two-stage estimation

JEL Codes: C14, C21, C23

Author links: Koen Jochmans  

Publisher's Link: https://doi.org/10.1016/j.jeconom.2014.09.011



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