Alfonso Flores-Lagunes
Kurt E. Schnier

estimation of sample selection models with spatial dependence (replication data)

We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two-step strategy where in the first step we estimate a spatial probit model and in the second step (outcome equation) we include an estimated inverse Mills ratio (IMR) as a regressor to control for selection bias. Since the appropriate IMR under SAE depends on a parameter from the second step, both steps are jointly estimated employing the generalized method of moments. We explore the finite sample properties of the estimator using simulations and provide an empirical illustration.

Data and Resources

Suggested Citation

Flores-Lagunes, Alfonso; Schnier, Kurt E. (2012): Estimation of sample selection models with spatial dependence (replication data). Version: 1. Journal of Applied Econometrics. Dataset.