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Sample selection and event study estimation

✍ Scribed by Kenneth R. Ahern

Book ID: 116641694
Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 285 KB
Volume: 16
Category: Article
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2009.01.003

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## SUMMARY We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two‐step strategy where in the first step we estimate a spatial probit model and in the second step (outcome equation) we include an estimated inver