On the estimation of a binary response model in a selected population

Elena Stanghellini, Francesco Claudio Stingo and Rosa Capobianco

No 62/2008, Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia

Abstract: A generalization of the Probit model is presented, with the extended skew-normal cumulative distribution as a link function, which can be used for modelling a binary response variable in the presence of selectivity bias. The estimate of the parameters via ML is addressed, and inference on the parameters expressing the degree of selection is discussed. The assumption underlying the model is that the selection mechanism influences the unmeasured factors and does not affect the explanatory variables. When this assumption is violated, but other conditional independencies hold, then the model proposed here is derived. In particular, the instrumental variable formula still applies and the model results at the second stage of the estimating procedure.

Keywords: directed acyclic graph; extended skew-normal distribution; hidden truncation; instrumental variables; self-selection; unobserved confounder (search for similar items in EconPapers)
JEL-codes: C1 C24 C25 C34 C35 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2008-11-15
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www2.ec.unipg.it/quaderni/qd62web.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www2.ec.unipg.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pia:wpaper:62/2008

Access Statistics for this paper

More papers in Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia Contact information at EDIRC.
Bibliographic data for series maintained by Ubaldo Pizzoli ().