Another look at the identification at infinity of sample selection models
Maurel Arnaud
Another look at the identification at infinity of sample selection models created by Xavier D’Haultfoeuille and Arnaud Maurel - Econometric theory Volume 29, number 1 .
It is often believed that without instruments, endogenous sample selection models are identified only if a covariate with a large support is available (see, e.g., Chamberlain, 1986, Journal of Econometrics 32, 189–218; Lewbel, 2007, Journal of Econometrics141, 777–806) . We propose a new identification strategy mainly based on the condition that the selection variable becomes independent of the covariates for large values of the outcome. No large support on the covariates is required. Moreover, we prove that this condition is testable. We finally show that our strategy can be applied to the identification of generalized Roy models.
Identification at infinity--Roy model--Sample selection model
HB139.T52 ECO
Another look at the identification at infinity of sample selection models created by Xavier D’Haultfoeuille and Arnaud Maurel - Econometric theory Volume 29, number 1 .
It is often believed that without instruments, endogenous sample selection models are identified only if a covariate with a large support is available (see, e.g., Chamberlain, 1986, Journal of Econometrics 32, 189–218; Lewbel, 2007, Journal of Econometrics141, 777–806) . We propose a new identification strategy mainly based on the condition that the selection variable becomes independent of the covariates for large values of the outcome. No large support on the covariates is required. Moreover, we prove that this condition is testable. We finally show that our strategy can be applied to the identification of generalized Roy models.
Identification at infinity--Roy model--Sample selection model
HB139.T52 ECO