Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language
AbstractThe aim of this paper is two-fold: (a) to establish a ‘map’ for describing the wide class of Limited Dependent Variables (LDV) univariate and multivariate models in the econometric literature and (b) to localize typical models in this tradition within the structure, extending typologies of Heckman (1976) and Amemiya (1984). The classification system, or language, proposed, is given at different level of detail. Its scope is (1) that the latent variables can have any parametric distribution, (2) that a set of observation rules which include the observed, censored, missing status, is imposed, (3) that it should be possible to write a model combining (1) and (2) by means of a computer algorithm, also potentially applicable for generating samples and (4) that the models belonging to the system should have names to facilitate communication among researchers. The likelihood functions corresponding to the models’ observed endogenous variables are discussed, but the paper is not concerned with describing the application of these functions for inference.
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Bibliographic InfoPaper provided by Oslo University, Department of Economics in its series Memorandum with number 18/2011.
Length: 18 pages
Date of creation: 14 Sep 2011
Date of revision:
Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Web page: http://www.oekonomi.uio.no/indexe.html
More information through EDIRC
Micro-econometrics; Limited dependent variables; Latent variables; Discrete choice; Censoring; Truncation; Missing observations;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
- NEP-DCM-2011-09-22 (Discrete Choice Models)
- NEP-ECM-2011-09-22 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dagenais, Marcel G, 1975. "Application of a Threshold Regression Model to Household Purchases of Automobiles," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 275-85, August.
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
- Nelson, Forrest D., 1977. "Censored regression models with unobserved, stochastic censoring thresholds," Journal of Econometrics, Elsevier, vol. 6(3), pages 309-327, November.
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