IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

A Flexible Sample Selection Model: A GTL-Copula Approach

  • Hasebe, Takuya

    ()

    (Sophia University)

  • Vijverberg, Wim P.

    ()

    (CUNY Graduate Center)

In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data that it represents. Copulas help create versatile representations of bivariate distribution. The versatility arising from inserting GTL marginal distributions into copula-constructed bivariate distributions reduces the dependence of estimated parameters on distributional assumptions in applied research. A thorough Monte Carlo study illustrates that our proposed estimator performs well under normal and nonnormal settings, both with and without an instrument in the selection equation that fulfills the exclusion restriction that is often considered to be a requisite for implementation of sample selection models in empirical research. Five applications ranging from wages and health expenditures to speeding tickets and international disputes illustrate the value of the proposed GTL-copula estimator.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://ftp.iza.org/dp7003.pdf
Download Restriction: no

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 7003.

as
in new window

Length: 63 pages
Date of creation: Nov 2012
Date of revision:
Handle: RePEc:iza:izadps:dp7003
Contact details of provider: Postal:
IZA, P.O. Box 7240, D-53072 Bonn, Germany

Phone: +49 228 3894 223
Fax: +49 228 3894 180
Web page: http://www.iza.org

Order Information: Postal: IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany
Email:


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.:

as in new window
  1. Michael D. Makowsky & Thomas Stratmann, 2009. "Political Economy at Any Speed: What Determines Traffic Citations?," American Economic Review, American Economic Association, vol. 99(1), pages 509-27, March.
  2. Yen, Steven T. & Yuan, Yan & Liu, Xiaowen, 2009. "Alcohol consumption by men in China: A non-Gaussian censored system approach," China Economic Review, Elsevier, vol. 20(2), pages 162-173, June.
  3. Zuehlke, Thomas W & Zeman, Allen R, 1991. "A Comparison of Two-Stage Estimators of Censored Regression Models," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 185-88, February.
  4. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
  5. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-12, March.
  6. Margarita Genius & Elisabetta Strazzera, 2008. "Applying the copula approach to sample selection modelling," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1443-1455.
  7. Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
  8. 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.
  9. Lung-Fei Lee, 1982. "Some Approaches to the Correction of Selectivity Bias," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 355-372.
  10. Whitney K. Newey, 2009. "Two-step series estimation of sample selection models," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S217-S229, 01.
  11. A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modeling the Differences in Counted Outcomes using Bivariate Copula Models: with Application to Mismeasured Counts," Working Papers 43, University of California, Davis, Department of Economics.
  12. Murray D. Smith, 2005. "Using Copulas to Model Switching Regimes with an Application to Child Labour," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages S47-S57, 08.
  13. Jose-Mari Sarabia, 1997. "A hierarchy of lorenz curves based on the generalized tukey's lambda distribution," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 305-320.
  14. Vijverberg, Wim P. & Hasebe, Takuya, 2015. "GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances," IZA Discussion Papers 8898, Institute for the Study of Labor (IZA).
  15. A. D. Roy, 1951. "Some Thoughts On The Distribution Of Earnings," Oxford Economic Papers, Oxford University Press, vol. 3(2), pages 135-146.
  16. Orazio Attanasio & Costas Meghir & Ana Santiago, 2010. "Education choices in Mexico: using a structural model and a randomized experiment to evaluate Progresa," IFS Working Papers W10/14, Institute for Fiscal Studies.
  17. Murray D. Smith, 2003. "Modelling sample selection using Archimedean copulas," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 99-123, 06.
  18. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
  19. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 33-58.
  20. Lee, Lung-Fei, 1978. "Unionism and Wage Rates: A Simultaneous Equations Model with Qualitative and Limited Dependent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 415-33, June.
  21. Erik Meijer & Tom Wansbeek, 2007. "The Sample Selection Model from a Method of Moments Perspective," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 25-51.
  22. Koenker, Roger & Yoon, Jungmo, 2009. "Parametric links for binary choice models: A Fisherian-Bayesian colloquy," Journal of Econometrics, Elsevier, vol. 152(2), pages 120-130, October.
  23. Amos Golan & Enrico Moretti & Jeffrey M.Perloff, 2004. "A Small-Sample Estimator for the Sample-Selection Model," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 71-91.
  24. Heckman, J J & Tobias, Justin & Vytlacil, Ed, 2003. "Simple Estimators for Treatment Parameters in a Latent Variable Framework," Staff General Research Papers 12012, Iowa State University, Department of Economics.
  25. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January.
  26. Zimmer, David M. & Trivedi, Pravin K., 2006. "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 63-76, January.
  27. 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.
  28. Olsen, Randall J, 1980. "A Least Squares Correction for Selectivity Bias," Econometrica, Econometric Society, vol. 48(7), pages 1815-20, November.
  29. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, November.
  30. Diane Dancer & Anu Rammohan & Murray D. Smith, 2008. "Infant mortality and child nutrition in Bangladesh," Health Economics, John Wiley & Sons, Ltd., vol. 17(9), pages 1015-1035.
  31. Su, Steve, 2007. "Numerical maximum log likelihood estimation for generalized lambda distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3983-3998, May.
  32. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
  33. Gianna Boero & Jeremy Smith & Kenneth Wallis, 2005. "The Sensitivity of Chi-Squared Goodness-of-Fit Tests to the Partitioning of Data," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 341-370.
  34. Trivedi, Pravin K. & Zimmer, David M., 2007. "Copula Modeling: An Introduction for Practitioners," Foundations and Trends(R) in Econometrics, now publishers, vol. 1(1), pages 1-111, April.
  35. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-94, July.
  36. Deb, Partha & Trivedi, Pravin K., 2002. "The structure of demand for health care: latent class versus two-part models," Journal of Health Economics, Elsevier, vol. 21(4), pages 601-625, July.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:iza:izadps:dp7003. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Fallak)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.