Endogenous Sampling and Matching Method in Duration Models
AbstractEndogenous sampling with matching (also called gmixed samplingh) occurs when the statistician samples from the non-right- censored subset at a predetermined proportion and matches on one or more exogenous variables when sampling from the right-censored subset. This is widely applied in the duration analysis of firm failures, loan defaults, insurer insolvencies, and so on, due to the low frequency of observing non-right-censored samples (bankrupt, default, and insolvent observations in respective examples). However, the common practice of using estimation procedures intended for random sampling or for the qualitative response model will yield either an inconsistent or inefficient estimator. This paper proposes a consistent and efficient estimator and investigates its asymptotic properties. In addition, this paper evaluates the magnitude of asymptotic bias when the model is estimated as if it were a random sample or an endogenous sample without matching. This paper also compares the relative efficiency of other commonly used estimators and provides a general guideline for optimally choosing sample designs. The Monte Carlo study with a simple example shows that random sampling yields an estimator of poor finite sample properties when the population is extremely unbalanced in terms of default and non-default cases while endogenous sampling and mixed sampling are robust in this situation.
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Bibliographic InfoArticle provided by Institute for Monetary and Economic Studies, Bank of Japan in its journal Monetary and Economic Studies.
Volume (Year): 24 (2006)
Issue (Month): 2 (November)
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Duration models; Endogenous sampling with matching; Maximum likelihood estimator; Manski-Lerman estimator; Asymptotic distribution;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
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