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Selection Bias Corrections Based on the Multinomial Logit Model: Monte-Carlo Comparisons

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François Bourguignon
Martin Fournier
Marc Gurgand

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Abstract

This survey presents the set of methods available in the literature on selection bias correction, when selection is specified as a multinomial logit model. It contrasts the underlying assumptions made by the different methods and shows results from a set of Monte-Carlo experiments. We find that, in many cases, the approach initiated by Dubin and MacFadden (1984) is to be preferred to the most commonly used Lee (1984) method, as well as to the semi-parametric alternative method recently proposed by Dahl (2002), even in the presence of high non-linearity in the selection term. Monte-Carlo experiments also show that selection bias correction based on the multinomial logit model can provide fairly good correction for the outcome equation, even when the IIA hypothesis is violated.

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Paper provided by DELTA (Ecole normale supérieure) in its series DELTA Working Papers with number 2004-20.

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Date of creation: 2004
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Handle: RePEc:del:abcdef:2004-20

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  1. Gordon B. Dahl, 2002. "Mobility and the Return to Education: Testing a Roy Model with Multiple Markets," RCER Working Papers 488, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
  2. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-12, March. [Downloadable!] (restricted)
  3. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January. [Downloadable!] (restricted)
  4. Dubin, Jeffrey A & McFadden, Daniel L, 1984. "An Econometric Analysis of Residential Electric Appliance Holdings and Consumption," Econometrica, Econometric Society, vol. 52(2), pages 345-62, March. [Downloadable!] (restricted)
  5. Gordon B. Dahl, 2002. "Mobility and the Return to Education: Testing a Roy Model with Multiple Markets," Econometrica, Econometric Society, vol. 70(6), pages 2367-2420, November. [Downloadable!] (restricted)
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