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Original Articles

Asymptotic misspecification biases for heckman's two step estimator

Pages 743-753 | Received 01 Oct 1987, Published online: 27 Jun 2007

References

  • Arabmazar , A. and Schmidt , P. 1981 . “Further evidence on the robustness of the Tobit estimator to heteroskedasticity” . Journal of Econometrics , 17 : 253 – 258 .
  • Heckman , J. J. 1976 . “The common structure of statistical models of truncation, sample selection and limited dependent variables and a simple estimator for such models” . Annals of Economic and Social Measurement , 5 : 475 – 492 .
  • Nelson , F. D. 1984 . “Efficiency of the two-step estimator for models with endogenous sample selection” . Journal of Econometrics , 24 : 181 – 196 .
  • Paarsch , H. J. 1984 . “A Monte Carlo comparison of estimators for censored regression models” . Journal of Econometrics , 24 : 197 – 213 .
  • Powell , J. L. 1986 . “Symmetrically trimmed least squares estimation for Tobit models” . Econometrica , 54 : 1435 – 1460 .
  • Tobin , J. 1958 . “Estimation of relationships for limited dependent variables” . Econometrica , 26 : 24 – 36 .
  • White , H. 1982 . “Maximum likelihood estimation of misspecified models” . Econometrica , 50 : 1 – 25 .
  • Yatchew , A. and Griliches , Z. 1985 . “Specification error in probit models” . The Review of Economics and Statistics , 67 : 134 – 139 .

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