arXiv 4 Nov 2024 · Econometrics
arXiv:2411.01799 · PDF · DOI · OpenAlex · Extracted main text
We propose a novel method for estimating nonseparable selection models. We show that, given the selection rule and the observed selected outcome distribution, the potential outcome distribution can be characterized as the fixed point of an operator, which we prove to be a functional contraction. We propose a two-step semiparametric maximum likelihood estimator to estimate the selection model and the potential outcome distribution. The consistency and asymptotic normality of the estimator are established. Our approach performs well in Monte Carlo simulations and is applicable in a variety of empirical settings where only a selected sample of outcomes is observed. Examples include consumer demand models with only transaction prices, auctions with incomplete bid data, and Roy models with data on accepted wages.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cosconati, M., Y. Xin, F. Wu, and Y. Jin (2025) Competing under information heterogeneity: Evidence from auto insurance | 1.000 | 10 | 3 | 100% |
| 2 | Hu, Y (2008) Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution | 0.894 | 7 | 3 | 71% |
| 3 | Arellano, M. and S. Bonhomme (2017) Quantile selection models with an application to understanding changes in wage inequality | 0.811 | 4 | 2 | 100% |
| 4 | D’Haultfuille, X., I. Durrmeyer, and P. Février (2019) Automobile prices in market equilibrium with unobserved price discrimination | 0.811 | 4 | 2 | 100% |
| 5 | Chernozhukov, V., I. Fernández-Val, and S. Luo (2025) Distribution regression with sample selection and UK wage decomposition | 0.737 | 3 | 2 | 100% |
| 6 | Crawford, G. S., N. Pavanini, and F. Schivardi (2018) Asymmetric information and imperfect competition in lending markets | 0.737 | 3 | 2 | 100% |
| 7 | Goldberg, P. K (1996) Dealer price discrimination in new car purchases: Evidence from the consumer expenditure survey | 0.737 | 3 | 2 | 100% |
| 8 | Sagl, S (2023) Dispersion, discrimination, and the price of your pickup | 0.737 | 3 | 2 | 100% |
| 9 | Allen, J., R. Clark, B. Hickman, and E. Richert (2024) Resolving failed banks: Uncertainty, multiple bidding and auction design | 0.644 | 2 | 2 | 100% |
| 10 | Athey, S. and P. A. Haile (2007) Nonparametric approaches to auctions | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 55 scored citations.