A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors

Vella, F.

doi:10.2307/2526924

Cited by 132 publications

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“…We, however, also incorporate endogeneity/selectivity through an individual time specific component. This extends cross-sectional estimators (see, for example, Heckman, 1978, Heckman, 1979Smith and Blundell, 1986;Rivers and Vuong, 1988;Vella, 1993) by separating the individual effects from these individual specific/time effects. We also capture state dependence in the process generating the endogeneity/selection bias.…”

Section: Introductionmentioning

confidence: 82%

“…First, it extends many available cross-sectional estimators (see, for example Heckman, 1978;Heckman, 1979;Vella, 1993) by exploiting the panel nature of the data to isolate the form of heterogeneity responsible for the endogeneity/selection bias. Second, while our treatment of the sample selection model is not new (see Ridder, 1990;Nijman and Verbeek, 1992), we generalize it to a wide range of selection rules.…”

Section: Conditional Moment Estimationmentioning

confidence: 99%

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Two-step estimation of panel data models with censored endogenous variables and selection bias

Vella

Verbeek

1999

Journal of Econometrics

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General rightsCopyright and moral rights for the publications made accessible in the public portal are retained by the authors and/or other copyright owners and it is a condition of accessing publications that users recognise and abide by the legal requirements associated with these rights.-Users may download and print one copy of any publication from the public portal for the purpose of private study or research -You may not further distribute the material or use it for any profit-making activity or commercial gain -You may freely distribute the URL identifying the publication in the public portal Take down policy If you believe that this document breaches copyright, please contact us providing details, and we will remove access to the work immediately and investigate your claim. Abstract This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.1999 Elsevier Science S.A. All rights reserved.JEL classification: C23; C33; C34

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Section: Introductionmentioning

confidence: 82%

Section: Conditional Moment Estimationmentioning

confidence: 99%

Two-step estimation of panel data models with censored endogenous variables and selection bias

Vella

Verbeek

1999

Journal of Econometrics

Self Cite

164

111

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“…In this section the test procedure proposed by Vella (1993) is implemented to address the simultaneity problem between exchange rates and intervention.…”

Section: Testing For Simultaneity Between Exchange Rates and Intervenmentioning

confidence: 99%

“…This study makes two contributions to understanding and testing the effectiveness of central bank interventions. Firstly, the simultaneity problem between exchange rates and interventions is addressed explicitly by implementing a test procedure proposed by Vella (1993). Secondly, the direct effect of intervention on the level of the exchange rate is estimated.…”

mentioning

confidence: 99%

“…Section 6.3 discusses the simultaneity problem. Section 6.4 sets out and implements an estimation procedure proposed by Vella (1993) to test for simultaneity in a model with a censored endogenous regressor. Section 6.5 reports on the results of an empirical investigation into the immediate impact of interventions by the Bundesbank and the Federal Reserve on the level of the DM/$ rate by altering market expectations.…”

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confidence: 99%

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