A Simple Estimator for Simultaneous Models with Censored Endogenous Reggressors
提出一个简单的两步估计量，用于处理含删失内生回归变量和样本选择偏差的模型，利用广义残差调整内生性导致的不一致性，并提供弱外生性检验。
This paper presents a simple two step estimator for models with censored endogenous regressors and sample selection bias. The approach unifies the literature on censored endogenous regressors and sample selection bias and provides some extensions. The procedure relies upon the use of generalized residuals to adjust for the inconsistency caused by the endogeneity of the censored regressors. The methodology is very simple and easily implementable with existing computer programs. The paper also provides two tests of weak exogeneity. Two empirical examples, based on issues from the labor economics literature, indicate that the estimation procedure and the tests perform well.