Semiparametric Estimation of Heteroscedastic Binary Choice Sample Selection Models under Symmetry

Binary choice sample selection models are widely used in applied economics with large crosssectional data where heteroscedaticity is typically a serious concern. Existing parametric and semiparametric estimators for the binary selection equation and the outcome equation in such models su®er from serious drawbacks in the presence of heteroscedasticity of unknown form in the latent errors. In this paper we propose some new estimators to overcome these drawbacks under a symmetry condition, robust to both nonnormality and general heterscedasticity. The estimators are shown to be p n-consistent and asymptotically normal. We also indicate that our approaches may be extended to other important models.