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A Test of the Conditional Independence Assumption in Sample Selection Models

Huber, Martin ; Melly, Blaise

In: Journal of Applied Econometrics, 2015, vol. 30, no. 7, p. 1144-1168

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any—per assumption non-existing—heterogeneity. Quantile estimators are nevertheless useful for testing the conditional...