Estimation of sample selection models with spatial dependence
研究了存在空间自回归误差时样本选择模型的估计方法，采用两步法结合广义矩估计，并通过模拟和实证验证了估计量的有限样本性质。
SUMMARY We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two‐step strategy where in the first step we estimate a spatial probit model and in the second step (outcome equation) we include an estimated inverse Mills ratio (IMR) as a regressor to control for selection bias. Since the appropriate IMR under SAE depends on a parameter from the second step, both steps are jointly estimated employing the generalized method of moments. We explore the finite sample properties of the estimator using simulations and provide an empirical illustration. Copyright © 2010 John Wiley & Sons, Ltd.