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Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models

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  • Martijn van Hasselt

Abstract

This paper considers two models to deal with an outcome variable that contains a large fraction of zeros, such as individual expenditures on health care: a sample-selection model and a two-part model. The sample-selection model uses two possibly correlated processes to determine the outcome: a decision process and an outcome process; conditional on a favorable decision, the outcome is observed. The two-part model comprises uncorrelated decision and outcome processes. The paper addresses the issue of selecting between these two models. With a Gaussian specification of the likelihood, the models are nested and inference can focus on the correlation coefficient. Using a fully parametric Bayesian approach, I present sampling algorithms for the model parameters that are based on data augmentation. In addition to the sampler output of the correlation coefficient, a Bayes factor can be computed to distinguish between the models. The paper illustrates the methods and their potential pitfalls using simulated data sets

Suggested Citation

  • Martijn van Hasselt, 2005. "Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models," Computing in Economics and Finance 2005 241, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:241
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    Cited by:

    1. Raphaële Préget, 2011. "What is the cost of low participation in French Timber auctions?," Post-Print hal-00670762, HAL.
    2. Dogan, Osman & Taspinar, Suleyman, 2016. "Bayesian Inference in Spatial Sample Selection Models," MPRA Paper 82829, University Library of Munich, Germany.
    3. R. Pr駥t & P. Waelbroeck, 2012. "What is the cost of low participation in French timber auctions?," Applied Economics, Taylor & Francis Journals, vol. 44(11), pages 1337-1346, April.

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    More about this item

    Keywords

    Sample Selection; Data Augmentation; Gibbs Sampling;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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