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Sample selection models for discrete and other non-Gaussian response variables

Author

Listed:
  • Adelchi Azzalini

    (University of Padua)

  • Hyoung-Moon Kim

    (Konkuk University)

  • Hea-Jung Kim

    (Dongguk University)

Abstract

Consider observation of a phenomenon of interest subject to selective sampling due to a censoring mechanism regulated by some other variable. In this context, an extensive literature exists linked to the so-called Heckman selection model. A great deal of this work has been developed under Gaussian assumption of the underlying probability distributions; considerably less work has dealt with other distributions. We examine a general construction which encompasses a variety of distributions and allows various options of the selection mechanism, focusing especially on the case of discrete response. Inferential methods based on the pertaining likelihood function are developed.

Suggested Citation

  • Adelchi Azzalini & Hyoung-Moon Kim & Hea-Jung Kim, 2019. "Sample selection models for discrete and other non-Gaussian response variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 27-56, March.
  • Handle: RePEc:spr:stmapp:v:28:y:2019:i:1:d:10.1007_s10260-018-0427-1
    DOI: 10.1007/s10260-018-0427-1
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    References listed on IDEAS

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    1. 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.
    2. Mikhail Zhelonkin & Marc G. Genton & Elvezio Ronchetti, 2016. "Robust inference in sample selection models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 805-827, September.
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    7. Marra, Giampiero & Wyszynski, Karol, 2016. "Semi-parametric copula sample selection models for count responses," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 110-129.
    8. Greene, William, 1998. "Sample selection in credit-scoring models1," Japan and the World Economy, Elsevier, vol. 10(3), pages 299-316, July.
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