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Selectivity Econometria
Selectivity Econometria
Selectivity Econometria
Walter Sosa-Escudero
Econ 507. Econometric Analysis. Spring 2012
Walter Sosa-Escudero
Sample Selection
f (x)
P r(X < a)
f (x|X < a) =
=
1 1
2
h
exp 21
()
(1/)(z)
()
Walter Sosa-Escudero
Sample Selection
x 2
()
()
Walter Sosa-Escudero
Sample Selection
u N (0, 2 )
Sample Selection
Note that:
P (y = 1|x) = P (y > 0|x)
= P (u > x0 |x)
= P (u < x0 |x)
= P (u/ < x0 / | x)
= (x0 )
This is a probit model with /.
Based on (yi , xi ), we can estimate consistenly by MLE, even
when we cannot estimate and 2 separately.
Walter Sosa-Escudero
Sample Selection
Walter Sosa-Escudero
Sample Selection
Sample selectivity
Walter Sosa-Escudero
Sample Selection
Walter Sosa-Escudero
Sample Selection
Walter Sosa-Escudero
Sample Selection
(regression)
(selectivity)
> 0].
Let y2i = 1[y2i
Walter Sosa-Escudero
Sample Selection
Assumptions:
1
u2i N (0, 22 ).
Walter Sosa-Escudero
Sample Selection
Selectivity bias
Here si y2i .
E(y1i |x1i , y2i = 1) = x01i 1 + E(u1i | x1i , y2i = 1)
= x01i 1 + E E(u1i |u2i ) | x1i , y2i = 1
= x01i 1 + E u2i | x1i , y2i = 1
Walter Sosa-Escudero
Sample Selection
Walter Sosa-Escudero
Sample Selection
Walter Sosa-Escudero
Sample Selection
P (y2i = 1) = P (y2i
> 0) = P (u2i /2 < x02i 2 /2 ) = (x02i )
Walter Sosa-Escudero
Sample Selection
zi = (x02i ).
Stage 2: Regress y2i on x1i and zi using the selected sample.
This produces consistent estimates of 1 and .
Walter Sosa-Escudero
Sample Selection
Practical remarks
Walter Sosa-Escudero
Sample Selection