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Quantile Regression in the Presence of Sample Selection

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  • Huber, Martin

    ()

  • Melly, Blaise

    ()

Abstract

Most sample selection models assume that the errors are independent of the regressors. Under this assumption, all quantile and mean functions are parallel, which implies that quantile estimators cannot reveal any (per definition non-existing) heterogeneity. However, quantile estimators are useful for testing the independence assumption, because they are consistent under the null hypothesis. We propose tests for this crucial restriction that are based on the entire conditional quantile regression process after correcting for sample selection bias. Monte Carlo simulations demonstrate that they are powerful and two empirical illustrations indicate that violations of this assumption are likely to be ubiquitous in labor economics.

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File URL: http://www1.vwa.unisg.ch/RePEc/usg/econwp/EWP-1109.pdf
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Bibliographic Info

Paper provided by University of St. Gallen, School of Economics and Political Science in its series Economics Working Paper Series with number 1109.

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Length: 33 pages
Date of creation: Mar 2011
Date of revision:
Handle: RePEc:usg:econwp:2011:09

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Keywords: Sample selection; quantile regression; independence; test;

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References

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Citations

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Cited by:
  1. Philippe Van Kerm, 2013. "Generalized measures of wage differentials," Empirical Economics, Springer, vol. 45(1), pages 465-482, August.
  2. Christofides, Louis N. & Polycarpou, Alexandros & Vrachimis, Konstantinos, 2013. "Gender wage gaps, ‘sticky floors’ and ‘glass ceilings’ in Europe," Labour Economics, Elsevier, vol. 21(C), pages 86-102.
  3. Ekaterina Selezneva & Philippe Van Kerm, 2013. "Inequality-adjusted gender wage differentials in Germany," Working Papers 334, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
  4. Olivier Bargain & Prudence Kwenda, 2013. "The Informal Sector Wage Gap: New Evidence using Quantile Estimations on Panel Data," Working Papers halshs-00967324, HAL.
  5. Olivier Bargain & Prudence Kwenda, 2013. "The Informal Sector Wage Gap: New Evidence using Quantile Estimations on Panel Data," AMSE Working Papers 1360, Aix-Marseille School of Economics, Marseille, France, revised Jun 2013.
  6. Schwiebert, Jörg, 2012. "Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-504, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Huber, Martin & Mellace, Giovanni, 2011. "Sharp bounds on causal effects under sample selection," Economics Working Paper Series 1134, University of St. Gallen, School of Economics and Political Science.
  8. DOORLEY Karina & SIERMINSKA Eva, 2011. "Beauty and the beast in the labor market: Evidence from a distribution regression approach," CEPS/INSTEAD Working Paper Series 2011-62, CEPS/INSTEAD.
  9. Martin Huber & Blaise Melly, 2012. "A test of the conditional independence assumption in sample selection models," Working Papers 2012-11, Brown University, Department of Economics.

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