HECKMAN#39;s SAMPLE SELECTION MODEL赫克曼和# 39的样本选择模型.doc

ECONOMETRICS LECTURE: HECKMAN’s SAMPLE SELECTION MODEL Heckman J (1979) Sample selection bias as a specification error, Econometrica, 47, pp. 153-61. Note: Heckman got the Nobel prize for this paper. The model was developed within the context of a wage equation: THE WAGE EQUATION Wi = βXi + εi (1) where Wi is the wage, Xi observed variables relating to the i’th person’s productivity and εi is an error term. W is observed only for workers, i.e. only people in work receive a wage. SAMPLE SELECTION (i.e. being in the labour force so W is observed) There is a second equation relating to employment: E*i = Ziγ + ui (2) E*i = Wi – Ei is the difference between the wage and the reservation wage Ei. The reservation wage is the minimum wage at which the ith individual is prepared to work. If the wage is below that they choose not to work. We observe only an indicator variable for employment defined as E=1 if E*i0 and E=0 otherwise. ASSUMPTIONS The Heckman model also uses the following assumptions: (ε,u) ~ N(0,0,σ2ε, σ2u,ρεu) (3) That is both error terms are normally distributed with mean 0, variances as indicated and the error terms are correlated where ρεu indicates the correlation coefficient. (ε,u) is independent of X and Z (4) The error terms are independent of both sets of explanatory variables. Var(u) = σ2u = 1 (5) This is not so much an assumption as a simplification it normalises the variance of the error term in what will be a probit regression. THE SAMPLE SELECTION PROBLEM Take the expected value of (1) conditional upon the individual working and the values of X: E(Wi | Ei=1,Xi) = E(Wi | Xi Zi ui) (the right hand side comes from (2) Wi = βXi + εi (1) E(Wi | Ei=1,Xi) = E(Wi | Xi Zi ui) = βXi + E(εi| Xi Zi ui) (6) This comes from recognising that the expected value of X given X is simply X (and the assumption that Xi is independent of the two error terms). E(X|X)=X The final term in (6) {E(εi| Xi Zi ui) } can be simp