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Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model

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  • Claudia PIGINI

    ()
    (Universit… Politecnica delle Marche, Dipartimento di Scienze Economiche e Sociali)

Abstract

Since the seminal paper by Heckman (1974), the sample selection model has been an essential tool for applied economists and arguably the most sensitive to sources of misspecification among the standard microeconometric models involving limited dependent variables. The need for alternative methods to get consistent estimates has led to a number of estimation proposals for the sample selection model under non-normality. There is a marked dichotomy in the literature that has developed in two conceptually different directions: the bivariate normality assumption can be either replaced, by using copulae, or relaxed/removed, relying on semi and nonparametric estimators. This paper surveys the more recent proposals on the estimation of sample selection model that deal with distributional misspecification giving the practitioner a unified framework of both parametric and semi-nonparametric options.

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Bibliographic Info

Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 377.

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Length: 45
Date of creation: Jun 2012
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Handle: RePEc:anc:wpaper:377

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Keywords: Sample selection model; bivariate normality; copulae; maximum likelihood; semiparametric methods;

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References

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Cited by:
  1. Eralba CELA & Tineke FOKKEMA & Elena AMBROSETTI, 2012. "Links Between Transnationalism Integration and Duration of Residence: The Case of eastern European Migrants in Italy," Working Papers 386, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  2. Ruggero GRILLI & Gabriele TEDESCHI & Mauro GALLEGATI, 2012. "Markets connectivity and financial contagion," Working Papers 382, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  3. VAN KERM Philippe & YU Seunghee & CHOE Chung, 2014. "Wage differentials between native, immigrant and cross-border workers: Evidence and model comparisons," CEPS/INSTEAD Working Paper Series 2014-05, CEPS/INSTEAD.

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