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A unified approach to multilevel sample selection models

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  • Emmanuel O. Ogundimu
  • Jane L. Hutton

Abstract

We propose a unified approach for multilevel sample selection models using a generalized result on skew distributions arising from selection. If the underlying distributional assumption is normal, then the resulting density for the outcome is the continuous component of the sample selection density and has links with the closed skew-normal distribution (CSN). The CSN distribution provides a framework which simplifies the derivation of the conditional expectation of the observed data. This generalizes the Heckman’s two-step method to a multilevel sample selection model. Finite-sample performance of the maximum likelihood estimator of this model is studied through a Monte Carlo simulation.

Suggested Citation

  • Emmanuel O. Ogundimu & Jane L. Hutton, 2016. "A unified approach to multilevel sample selection models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(9), pages 2592-2611, May.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:9:p:2592-2611
    DOI: 10.1080/03610926.2014.887108
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    Cited by:

    1. L. Castell & P. Sillard, 2021. "Le traitement du biais de sélection endogène dans les enquêtes auprès des ménages par modèle de Heckman," Documents de Travail de l'Insee - INSEE Working Papers m2021-02, Institut National de la Statistique et des Etudes Economiques.

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