Estimation of spatial sample selection models: A partial maximum likelihood approach
研究了存在截面依赖时，选择方程和结果方程中带有空间滞后或空间误差的样本选择模型的估计问题，提出部分最大似然估计法，并证明其一致性和渐近正态性，通过蒙特卡洛模拟展示其优势。
Estimation of a sample selection model with a spatial lag of a latent dependent variable or a spatial error in both the selection and outcome equations is considered in the presence of cross-sectional dependence. Since there is no estimation framework for the spatial lag model and the existing estimators for the spatial error model are either computationally demanding or have poor small sample properties, we suggest to estimate these models by the partial maximum likelihood estimator, following Wang et al. (2013)'s framework for a spatial error probit model. We show that the estimator is consistent and asymptotically normally distributed. To facilitate easy and precise estimation of the variance matrix without requiring the spatial stationarity of errors, we propose the parametric bootstrap method. Monte Carlo simulations demonstrate the advantages of the estimators.