1. INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS.
- Author
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Arulampalam, Wiji, Corradi, Valentina, and Gutknecht, Daniel
- Subjects
CUMULATIVE distribution function ,MARGINAL distributions ,NONLINEAR estimation ,BANDWIDTHS ,HETEROGENEITY - Abstract
We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identified. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal cumulative distribution function of the instrument index is close to one. Data-driven procedures such as cross-validation may be used to select the bandwidth for this estimator. We then consider the case in which the monotonic index restriction does not hold and/or the set of observations with a propensity score close to one is thin so that convergence occurs at a rate that is arbitrarily close to the cubic rate. We explore the finite sample behavior in a Monte Carlo study and illustrate the use of our estimator using a model for count data with multiplicative unobserved heterogeneity. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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