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Nonparametric Identification and Estimation in a Generalized Roy Model

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Author Info
Patrick Bayer
Shakeeb Khan
Christopher Timmins

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Abstract

This paper considers nonparametric identification and estimation of a generalized Roy model that includes a non-pecuniary component of utility associated with each choice alternative. Previous work has found that, without parametric restrictions or the availability of covariates, all of the useful content of a cross-sectional dataset is absorbed in a restrictive specification of Roy sorting behavior that imposes independence on wage draws. While this is true, we demonstrate that it is also possible to identify (under relatively innocuous assumptions and without the use of covariates) a common non-pecuniary component of utility associated with each choice alternative. We develop nonparametric estimators corresponding to two alternative assumptions under which we prove identification, derive asymptotic properties, and illustrate small sample properties with a series of Monte Carlo experiments. We demonstrate the usefulness of one of these estimators with an empirical application. Micro data from the 2000 Census are used to calculate the returns to a college education. If high-school and college graduates face different costs of migration, this would be reflected in different degrees of Roy-sorting-induced bias in their observed wage distributions. Correcting for this bias, the observed returns to a college degree are cut in half.

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Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 13949.

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Date of creation: Apr 2008
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Handle: RePEc:nbr:nberwo:13949

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
J3 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs
J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Private Pensions

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References listed on IDEAS
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.:
  1. Patrick Bayer & Nathaniel Keohane & Christopher Timmins, 2006. "Migration and Hedonic Valuation: The Case of Air Quality," NBER Working Papers 12106, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Falaris, Evangelos M, 1987. "A Nested Logit Migration Model with Selectivity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 429-43, June. [Downloadable!] (restricted)
  3. Paul S. Davies & Michael J. Greenwood & Haizheng Li, 2001. "A Conditional Logit Approach to U.S. State-to-State Migration," Journal of Regional Science, Blackwell Publishing, vol. 41(2), pages 337-360. [Downloadable!] (restricted)
  4. repec:att:wimass:192037 is not listed on IDEAS
  5. Keisuke Hirano & Jack R. Porter, 2003. "Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support," Econometrica, Econometric Society, vol. 71(5), pages 1307-1338, 09. [Downloadable!] (restricted)
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  6. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September. [Downloadable!] (restricted)
  7. Victor Chernozhukov & Han Hong, 2004. "Likelihood Estimation and Inference in a Class of Nonregular Econometric Models," Econometrica, Econometric Society, vol. 72(5), pages 1445-1480, 09. [Downloadable!] (restricted)
  8. Sokbae 'Simon' Lee, 2005. "Identification of a competing risks model with unknown transformations of latent failure times," CeMMAP working papers CWP17/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  9. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July. [Downloadable!] (restricted)
  10. Borjas, George J, 1987. "Self-Selection and the Earnings of Immigrants," American Economic Review, American Economic Association, vol. 77(4), pages 531-53, September. [Downloadable!] (restricted)
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  11. Roback, Jennifer, 1982. "Wages, Rents, and the Quality of Life," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1257-78, December. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Thomas DeLeire & Christopher Timmins, 2008. "Roy Model Sorting and Non-Random Selection in the Valuation of a Statistical Life," NBER Working Papers 14364, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Fafchamps, Marcel & Shilpi, Forhad, 2008. "Determinants of choice of migration destination," Policy Research Working Paper Series 4728, The World Bank. [Downloadable!]
  3. d'Haultfoeuille, Xavier & Maurel, Arnaud, 2009. "Another Look at the Identification at Infinity of Sample Selection Models," IZA Discussion Papers 4334, Institute for the Study of Labor (IZA). [Downloadable!]
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