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Symmetric generalized Heckman models

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  • Helton Saulo
  • Roberto Vila
  • Shayane S. Cordeiro

Abstract

The sample selection bias problem arises when a variable of interest is correlated with a latent variable, and involves situations in which the response variable had part of its observations censored. Heckman (1976) proposed a sample selection model based on the bivariate normal distribution that fits both the variable of interest and the latent variable. Recently, this assumption of normality has been relaxed by more flexible models such as the Student-t distribution (Marchenko and Genton, 2012; Lachos et al., 2021). The aim of this work is to propose generalized Heckman sample selection models based on symmetric distributions (Fang et al., 1990). This is a new class of sample selection models, in which variables are added to the dispersion and correlation parameters. A Monte Carlo simulation study is performed to assess the behavior of the parameter estimation method. Two real data sets are analyzed to illustrate the proposed approach.

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  • Helton Saulo & Roberto Vila & Shayane S. Cordeiro, 2022. "Symmetric generalized Heckman models," Papers 2206.10054, arXiv.org.
    • Handle: RePEc:arx:papers:2206.10054
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    References listed on IDEAS

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    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
    2. Manning, W. G. & Duan, N. & Rogers, W. H., 1987. "Monte Carlo evidence on the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, vol. 35(1), pages 59-82, May.
    3. Lachos, Victor H. & Prates, Marcos O. & Dey, Dipak K., 2021. "Heckman selection-t model: Parameter estimation via the EM-algorithm," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
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    5. Paarsch, Harry J., 1984. "A Monte Carlo comparison of estimators for censored regression models," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 197-213.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    7. Emmanuel O. Ogundimu & Jane L. Hutton, 2016. "A Sample Selection Model with Skew-normal Distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 172-190, March.
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