A concentrated, nonlinear information-theoretic estimator for the sample selection model

Abstract

This paper develops a semi-parametric, Information-Theoretic method for estimating parameters for nonlinear data generated under a sample selection process. Considering the sample selection as a set of inequalities makes this model inherently nonlinear. This estimator (i) allows for a whole class of different priors, and (ii) is constructed as an unconstrained, concentrated model. This estimator is easy to apply and works well with small or complex data. We provide a number of explicit analytical examples for different priors' structures and an empirical example. © 2010.