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ANOTHER LOOK AT THE IDENTIFICATION AT INFINITY OF SAMPLE SELECTION MODELS

Published online by Cambridge University Press:  06 July 2012

Xavier D’Haultfoeuille and
Arnaud Maurel
Xavier D’Haultfoeuille*
Affiliation:
CREST
Arnaud Maurel
Affiliation:
Duke University
*
*Address correspondence to Xavier D’Haultfoeuille, CREST, 15 boulevard Gabriel Péri, 92 240 Malakoff, France; e-mail: xavier.dhaultfoeuille@ensae.fr.
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Abstract

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It is often believed that without instruments, endogenous sample selection models are identified only if a covariate with a large support is available (see, e.g., Chamberlain, 1986, Journal of Econometrics 32, 189–218; Lewbel, 2007, Journal of Econometrics141, 777–806) . We propose a new identification strategy mainly based on the condition that the selection variable becomes independent of the covariates for large values of the outcome. No large support on the covariates is required. Moreover, we prove that this condition is testable. We finally show that our strategy can be applied to the identification of generalized Roy models.

Information

Type
MISCELLANEA
Information
Econometric Theory , Volume 29 , Issue 1 , February 2013, pp. 213 - 224
Copyright
Copyright © Cambridge University Press 2012 

Footnotes

We are grateful to Magali Beffy, Edwin Leuven, and Arthur Lewbel for helpful comments. We also thank the editor Yuichi Kitamura and two anonymous referees for their valuable remarks and suggestions.

References

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