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st: Re: small sample and heckman selection

From   "Pascal Stock" <>
To   <>
Subject   st: Re: small sample and heckman selection
Date   Wed, 19 May 2010 18:00:40 +0200

To solve the problem of a small sample and Heckman selection Hill, Atkins,
Bender (2003) suggest to use boostrapping to resample the small sample
multiple times to get more robust standard errors for t-test on the
regression coefficients. They also discuss the efficiency of several
variance-covariance estimators to mitigate the heteroscedasticity caused by
estimating the inverse mills ration form the sample of the first stage
selection equation.

Good luck


Pascal Stock

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