A0405
Title: Estimation of functional coefficient panel data models with sample selection and fixed effects: A pairwise approach
Authors: Alexandra Soberon - Universidad de Cantabria (Spain) [presenting]
Juan Manuel Rodriguez-Poo - Universidad de Cantabria (Spain)
Daniel Henderson - University of Alabama (United States)
Taining Wang - Capital University of Economics and Business (China)
Abstract: The focus is on the consistent estimation of a flexible functional-coefficient panel data sample selection model with fixed effects that enables the capture of the potential parameter heterogeneity in the relationship of interest. A two-step estimation procedure is proposed that avoids identification restrictions based on a pairwise transformation. The first stage estimates the unknown parameters of the selection equation consistently, while the second stage estimates the regression of interest using these estimates and a generalized local weighting matrix that enables the removal asymptotically of the sample selection bias. The asymptotic distribution of the proposed estimators is analyzed under rather weak assumptions. Simulations reveal an excellent performance of the proposed estimators.
