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Working Paper, No. 2022-33, July 2022 Crossref
Sample Selection Models Without Exclusion Restrictions: Parameter Heterogeneity and Partial Identification

This paper studies semiparametric versions of the classical sample selection model (Heckman (1976, 1979)) without exclusion restrictions. We extend the analysis in Honoré and Hu (2020) by allowing for parameter heterogeneity and derive implications of this model. We also consider models that allow for heteroskedasticity and briefly discuss other extensions. The key ideas are illustrated in a simple wage regression for females. We find that the derived implications of a semiparametric version of Heckman's classical sample selection model are consistent with the data for women with no college education, but strongly rejected for women with a college degree or more.


Working papers are not edited, and all opinions and errors are the responsibility of the author(s). The views expressed do not necessarily reflect the views of the Federal Reserve Bank of Chicago or the Federal Reserve System.

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