Advanced Search
MyIDEAS: Login

Modelling sample selection using Archimedean copulas

Contents:

Author Info

  • Murray D. Smith
Registered author(s):

    Abstract

    By a theorem due to Sklar, a multivariate distribution can be represented in terms of its underlying margins by binding them together using a copula function. By exploiting this representation, the "copula approach" to modelling proceeds by specifying distributions for each margin and a copula function. In this paper, a number of families of copula functions are given, with attention focusing on those that fall within the Archimedean class. Members of this class of copulas are shown to be rich in various distributional attributes that are desired when modelling. The paper then proceeds by applying the copula approach to construct models for data that may suffer from selectivity bias. The models examined are the self-selection model, the switching regime model and the double-selection model. It is shown that when models are constructed using copulas from the Archimedean class, the resulting expressions for the log-likelihood and score facilitate maximum likelihood estimation. The literature on selectivity modelling is almost exclusively based on multivariate normal specifications. The copula approach permits selection modelling based on multivariate non-normality. Examples of self-selection models for labour supply and for duration of hospitalization illustrate the application of the copula approach to modelling. Copyright Royal Economic Society, 2003

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1368-423X.00101
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Royal Economic Society in its journal The Econometrics Journal.

    Volume (Year): 6 (2003)
    Issue (Month): 1 (06)
    Pages: 99-123

    as in new window
    Handle: RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123

    Contact details of provider:
    Web page: http://www.res.org.uk/
    More information through EDIRC

    Order Information:
    Web: http://www.ectj.org

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
    2. Murray D Smith, 2004. "Stochastic Frontier Models With Correlated Error Components," Econometric Society 2004 Australasian Meetings 121, Econometric Society.
    3. Van Kerm, Philippe, 2009. "Generalized measures of wage differentials," IRISS Working Paper Series 2009-08, IRISS at CEPS/INSTEAD.
    4. Yu, Lining & Voit, Eberhard O., 2006. "Construction of bivariate S-distributions with copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1822-1839, December.
    5. Rainer Winkelmann, 2009. "Copula-based bivariate binary response models," Working Papers 0913, University of Zurich, Socioeconomic Institute.
    6. Rong Zhang & Brett A. Inder & Xibin Zhang, 2012. "Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach," Monash Econometrics and Business Statistics Working Papers 5/12, Monash University, Department of Econometrics and Business Statistics.
    7. Yen, Steven T. & Yuan, Yan & Liu, Xiaowen, 2009. "Alcohol consumption by men in China: A non-Gaussian censored system approach," China Economic Review, Elsevier, vol. 20(2), pages 162-173, June.
    8. Kostov, Philip & Patton, Myles & Moss, Joan & McErlean, Seamus, 2006. "Does Gibrat’s law hold amongst dairy farmers in Northern Ireland?," MPRA Paper 3370, University Library of Munich, Germany.
    9. Eberth, Barbara & Smith, Murray D., 2010. "Modelling the participation decision and duration of sporting activity in Scotland," Economic Modelling, Elsevier, vol. 27(4), pages 822-834, July.
    10. Liang Peng & Yongcheng Qi & Ingrid Van Keilegom, 2012. "Jackknife empirical likelihood method for copulas," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(1), pages 74-92, March.
    11. Anastasios Panagiotelis & Michael S. Smith & Peter J Danaher, 2013. "From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior," Monash Econometrics and Business Statistics Working Papers 5/13, Monash University, Department of Econometrics and Business Statistics.
    12. Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers 2004.73, Fondazione Eni Enrico Mattei.
    13. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
    14. Diane Dancer & Anu Rammohan & Murray D. Smith, 2008. "Infant mortality and child nutrition in Bangladesh," Health Economics, John Wiley & Sons, Ltd., vol. 17(9), pages 1015-1035.
    15. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    16. Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    17. Rainer Winkelmann, 2011. "Copula bivariate probit models: with an application to medical expenditures," ECON - Working Papers 029, Department of Economics - University of Zurich.
    18. Hasebe, Takuya & Vijverberg, Wim P., 2012. "A Flexible Sample Selection Model: A GTL-Copula Approach," IZA Discussion Papers 7003, Institute for the Study of Labor (IZA).
    19. Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
    20. Yang, Jingping & Cheng, Shihong & Zhang, Lihong, 2006. "Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 267-284, October.
    21. Schwiebert, Jörg, 2012. "Analyzing the Composition of the Female Workforce - A Semiparametric Copula Approach," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-503, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.