The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1997, Volume 65, Issue 6
https://doi.org/0012-9682(199711)65:6<1335:EOAPDS>2.0.CO;2-B
p. 1335-1364
Ekaterini Kyriazidou
We consider the problem of estimation in a panel data sample selection model, where both the selection and the regression equation of interest contain unobservable individual-specific effects. We propose a two-step estimation procedure, which "differences out" both the sample selection effect and the unobservable individual effect from the equation of interest. In the first step, the unknown coefficients of the "selection" equation are consistently estimated. The estimates are then used to estimate the regression equation of interest. The estimator proposed in this paper is consistent and asymptotically normal, with a rate of convergence that can be made arbitrarily close to $n^{-1/2}$, depending on the strength of certain smoothness assumptions. The finite sample properties of the estimator are investigated in a small Monte Carlo simulation.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
