A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors
提出一个两步估计量，处理含删失内生回归变量和样本选择偏差的模型，用广义残差修正内生性导致的不一致性，并给出两个弱外生性检验。蒙特卡洛实验显示检验有良好功效，实证例子考察附加福利与工资的权衡。
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 extensions. The procedure employs generalized residuals to adjust for the inconsistency caused.by the endogeneity of the censored regressors. The paper also provides two new tests of weak exogeneity. An empirical example, examining the trade-off between fringe benefits and wages, indicates that the estimation procedure works well. A Monte Carlo experiment suggests that the proposed tests have good power properties. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association. (This abstract was borrowed from another version of this item.)