Abstract
The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. Originally proposed in Heckman (1979) within a fully parametric context, Ahn and Powell (1993) have proposed a semiparametric alternative that is claimed to be asymptotically robust against several misspecification errors. However, very few is known about the finite sample behavior of these estimators. In this paper we investigate theoretically and by simulations both bias and finite sample distribution of these estimators when ignoring heteroskedasticity in the sample selection mechanism.
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