Abstract:
This paper considers estimation of a sample selection model subject to conditional
heteroskedasticity in both the selection and outcome equations. The form
of heteroskedasticity allowed for in each equation is multiplicative, and each of
the two scale functions is left unspecified. A three-step estimator for the parameters
of interest in the outcome equation is proposed. The first two stages involve
nonparametrice stimation of the "propensitys core" and the conditional interquartile
range of the outcome equation, respectively. The third stage reweights the
data so that the conditional expectation of the reweighted dependent variable is
of a partially linear form, and the parameters of interest are estimated by an approach
analogous to that adopted in Ahn and Powell (1993, Journal of Econometrics
58, 3-29). Under standard regularity conditions the proposed estimator is
shown to be V/--consistent and asymptotically normal, and the form of its limiting
covariance matrix is derived
