Abstract
For linear panel data models with fixed effects and sample selection, we correct for selectivity bias in the within-group estimator. The proposed procedure is equivalent to a pooled weighted least squares based on pairwise differences augmented with correction terms. A computationally affordable method of estimating nuisance temporal correlation parameters in the selection equation errors is also proposed. Analytic standard errors are derived for the multi-step estimator. Our method is easier to implement and performs well in comparison to the minimum distance approach according to simulations.
Original language | English |
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Article number | 110882 |
Journal | Economics Letters |
Volume | 220 |
DOIs | |
Publication status | Published - 2022 Nov |
Bibliographical note
Funding Information:We thank the Editor, Associate Editor, and two anonymous reviewers for their thoughtful comments. Codes are available at the corresponding author’s website. Research by Han was supported by Korea University ( K2108891 ).
Publisher Copyright:
© 2022 Elsevier B.V.
Keywords
- Fixed effects
- Pairwise differences
- Sample selection
- Weighted least squares
- Within-group estimator
ASJC Scopus subject areas
- Finance
- Economics and Econometrics