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A Flexible Sample Selection Model: A GTL-Copula Approach

Author

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  • Hasebe, Takuya

    () (Sophia University)

  • Vijverberg, Wim P.

    () (CUNY Graduate Center)

Abstract

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.

Suggested Citation

  • Hasebe, Takuya & Vijverberg, Wim P., 2012. "A Flexible Sample Selection Model: A GTL-Copula Approach," IZA Discussion Papers 7003, Institute for the Study of Labor (IZA).
  • Handle: RePEc:iza:izadps:dp7003
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    Cited by:

    1. Juliana D. Araujo & Povilas Lastauskas & Chris Papageorgiou, 2017. "Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1517-1554, October.
    2. 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.
    3. Pigini Claudia, 2015. "Bivariate Non-Normality in the Sample Selection Model," Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 1-22, January.
    4. repec:jss:jstsof:v:071:i06 is not listed on IDEAS

    More about this item

    Keywords

    sample selection; copula; Generalized Tukey Lambda distribution;

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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