On Semiparametric Estimation of the Intercept of the Sample Selection Model: A Kernel Approach

ABSTRACT This paper presents a novel perspective on the identification at infinity as identification at the boundary, for the intercept of the sample selection model, via a transformation of the selection index. This perspective suggests generalisations of estimation at infinity to kernel regression estimation at the boundary and further to local linear estimation at the boundary. The proposed kernel‐type estimators with an estimated transformation are proven to be nonparametric‐rate consistent and asymptotically normal under mild regularity conditions. A fully data‐driven method of selecting the optimal bandwidths for the estimators is developed. The Monte Carlo simulation shows the desirable finite sample properties of the proposed estimators and bandwidth selection procedures.

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Publication Details

Journal
Oxford Bulletin of Economics and Statistics
Published
2026-02-03
DOI
https://doi.org/10.1111/obes.70050
Primary Topic
Statistical Methods and Inference
Type
article
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article

On Semiparametric Estimation of the Intercept of the Sample Selection Model: A Kernel Approach

Oxford Bulletin of Economics and Statistics
Statistical Methods and Inference
article

On Semiparametric Estimation of the Intercept of the Sample Selection Model: A Kernel Approach

article en

Abstract

ABSTRACT This paper presents a novel perspective on the identification at infinity as identification at the boundary, for the intercept of the sample selection model, via a transformation of the selection index. This perspective suggests generalisations of estimation at infinity to kernel regression estimation at the boundary and further to local linear estimation at the boundary. The proposed kernel‐type estimators with an estimated transformation are proven to be nonparametric‐rate consistent and asymptotically normal under mild regularity conditions. A fully data‐driven method of selecting the optimal bandwidths for the estimators is developed. The Monte Carlo simulation shows the desirable finite sample properties of the proposed estimators and bandwidth selection procedures.

Oxford Bulletin of Economics and Statistics
Zhejiang University of Finance and Economics (CN)
Openalex Percentile: Top 71%
Statistical Methods and Inference
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