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Trivariate Probit with Double Sample Selection: Theory and Application

Author

Listed:
  • Víctor Gerardo Carreón Rodríguez

    (Division of Economics, CIDE)

  • Jorge L. García García-Menéndez

Abstract

We develop the trivariate probit model in which the sample incidentally truncates twice (i.e. in the first and in the second equations), which is not solved in the literature. The model is analogue to the so called Bivariate Probit with Sample Selection (also referred as Bivariate Probit with Partial Partial Observabilty, Censored Probit or Heckman Probit) but in this case there are three equations and two truncations. We also present an application that shows the estimation biases when the incidental truncations are ignored.

Suggested Citation

  • Víctor Gerardo Carreón Rodríguez & Jorge L. García García-Menéndez, 2011. "Trivariate Probit with Double Sample Selection: Theory and Application," Working Papers DTE 520, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte520
    as

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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE520.pdf
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    References listed on IDEAS

    as
    1. Meng, Chun-Lo & Schmidt, Peter, 1985. "On the Cost of Partial Observability in the Bivariate Probit Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(1), pages 71-85, February.
    2. Sartori, Anne E., 2003. "An Estimator for Some Binary-Outcome Selection Models Without Exclusion Restrictions," Political Analysis, Cambridge University Press, vol. 11(2), pages 111-138, April.
    3. Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," Stata Journal, StataCorp LP, vol. 3(3), pages 278-294, September.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Víctor Gerardo Carreón Rodríguez & Jorge L. García-Menéndez, 2013. "Economic Analysis of Theft Reporting: the Case of Mexico City," Working Papers DTE 568, CIDE, División de Economía.

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    More about this item

    Keywords

    Probit; Double Sample Selection; Trivariate Probit;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

    Statistics

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