Copula-based maximum-likelihood estimation of sample-selection models

被引：48
作者：
Hasebe, Takuya [1 ]
机构：
[1] CUNY, Grad Ctr, New York, NY 10021 USA
来源：
STATA JOURNAL | 2013年 / 13卷 / 03期
关键词：
st0308; heckmancopula; switchcopula; copula method; sample-selection models; ECONOMETRIC-MODELS; TESTS;
D O I：
10.1177/1536867X1301300307
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
I describe the commands heckmancopula and switchcopula, which implement copula-based maximum-likelihood estimations of sample-selection models.
引用
收藏
页码：547 / 573
页数：27
相关论文
共 12 条
[1]   BAYESIAN-ANALYSIS OF BINARY AND POLYCHOTOMOUS RESPONSE DATA [J].
ALBERT, JH ;
CHIB, S .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (422) :669-679
[2]  
[Anonymous], 2003, Econometrics Journal, DOI [DOI 10.1111/1368-423X.00101, 10.1111/1368-423X.00101]
[3]  
[Anonymous], 2006, An introduction to copulas
[4]   LIKELIHOOD RATIO TEST, WALD TEST, AND KUHN-TUCKER TEST IN LINEAR-MODELS WITH INEQUALITY CONSTRAINTS ON THE REGRESSION PARAMETERS [J].
GOURIEROUX, C ;
HOLLY, A ;
MONFORT, A .
ECONOMETRICA, 1982, 50 (01) :63-80
[5]   Simple estimators for treatment parameters in a latent-variable framework [J].
Heckman, J ;
Tobias, JL ;
Vytlacil, E .
REVIEW OF ECONOMICS AND STATISTICS, 2003, 85 (03) :748-755
[6]   GENERALIZED ECONOMETRIC-MODELS WITH SELECTIVITY [J].
LEE, LF .
ECONOMETRICA, 1983, 51 (02) :507-512
[7]   TESTS FOR THE BIVARIATE NORMAL-DISTRIBUTION IN ECONOMETRIC-MODELS WITH SELECTIVITY [J].
LEE, LF .
ECONOMETRICA, 1984, 52 (04) :843-863
[8]   Maximum likelihood estimation of endogenous switching regression models [J].
Lokshin, Michael ;
Sajaia, Zurab .
STATA JOURNAL, 2004, 4 (03) :282-289
[9]   COMPARING EARNINGS PROFILES IN URBAN AREAS OF AN LDC - RURAL-TO-URBAN MIGRANTS VS NATIVE WORKERS [J].
VIJVERBERG, WPM ;
ZEAGER, LA .
JOURNAL OF DEVELOPMENT ECONOMICS, 1994, 45 (02) :177-199
[10]   LIKELIHOOD RATIO TESTS FOR MODEL SELECTION AND NON-NESTED HYPOTHESES [J].
VUONG, QH .
ECONOMETRICA, 1989, 57 (02) :307-333
12