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Estimation of sample selection models with two selection mechanisms

  • Li, Phillip

This paper focuses on estimating sample selection models with two incidentally truncated outcomes and two corresponding selection mechanisms. The method of estimation is an extension of the Markov chain Monte Carlo (MCMC) sampling algorithm from Chib (2007) and Chib et al. (2009). Contrary to conventional data augmentation strategies when dealing with missing data, the proposed algorithm augments the posterior with only a small subset of the total missing data caused by sample selection. This results in improved convergence of the MCMC chain and decreased storage costs, while maintaining tractability in the sampling densities. The methods are applied to estimate the effects of residential density on vehicle miles traveled and vehicle holdings in California.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 55 (2011)
Issue (Month): 2 (February)
Pages: 1099-1108

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Handle: RePEc:eee:csdana:v:55:y:2011:i:2:p:1099-1108
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  1. Newey, Whitney K & Powell, James L & Walker, James R, 1990. "Semiparametric Estimation of Selection Models: Some Empirical Results," American Economic Review, American Economic Association, vol. 80(2), pages 324-28, May.
  2. Steven T. Yen, 2005. "A Multivariate Sample-Selection Model: Estimating Cigarette and Alcohol Demands with Zero Observations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(2), pages 453-466.
  3. Charles F. Manski, 1989. "Anatomy of the Selection Problem," Journal of Human Resources, University of Wisconsin Press, vol. 24(3), pages 343-360.
  4. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  5. Koop, Gary M & Poirier, Dale J & Tobias, Justin, 2007. "Bayesian Econometric Methods," Staff General Research Papers 12722, Iowa State University, Department of Economics.
  6. E. Roy Weintraub & Evelyn L. Forget, 2007. "Introduction," History of Political Economy, Duke University Press, vol. 39(5), pages 1-6, Supplemen.
  7. Chib, Siddhartha, 2007. "Analysis of treatment response data without the joint distribution of potential outcomes," Journal of Econometrics, Elsevier, vol. 140(2), pages 401-412, October.
  8. Brownstone, David & Golob, Thomas F., 2009. "The impact of residential density on vehicle usage and energy consumption," Journal of Urban Economics, Elsevier, vol. 65(1), pages 91-98, January.
  9. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  10. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  11. 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.
  12. Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649 Elsevier.
  13. Puhani, Patrick A, 2000. " The Heckman Correction for Sample Selection and Its Critique," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 53-68, February.
  14. Poirier, Dale J., 1980. "Partial observability in bivariate probit models," Journal of Econometrics, Elsevier, vol. 12(2), pages 209-217, February.
  15. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
  16. Antonio M. Bento & Maureen L. Cropper & Ahmed Mushfiq Mobarak & Katja Vinha, 2005. "The Effects of Urban Spatial Structure on Travel Demand in the United States," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 466-478, August.
  17. J. Scott Shonkwiler & Steven T. Yen, 1999. "Two-Step Estimation of a Censored System of Equations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(4), pages 972-982.
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