Copula-Based Maximum-Likelihood Estimation of Sample-Selection Models

Abstract

I describe the commands heckmancopula and switchcopula, which implement copula-based maximum-likelihood estimations of sample-selection models.

Keywords

st0308 heckmancopula switchcopula copula method sample-selection models

References

Albert

J. H.

, and Chib

1993. Bayesian analysis of binary and polychotomous response data. Journal of the American Statistical Association 88: 669–679.

Gouriéroux

, Holly

, and Monfort

1982. Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters. Econometrica 50: 63–80.

Heckman

J. J.

, Tobias

J. L.

, and Vytlacil

2003. Simple estimators for treatment parameters in a latent-variable framework. Review of Economics and Statistics 85: 748–755.

Lee

L.-F.

1983. Generalized econometric models with selectivity. Econometrica 51: 507–512.

Lee

L.-F.

1984. Tests for the bivariate normal distribution in econometric models with selectivity. Econometrica 52: 843–863.

Lokshin

, and Sajaia

2004. Maximum likelihood estimation of endogenous switching regression models. Stata Journal 4: 282–289.

Nelsen

R. B.

2006. An Introduction to Copulas. 2nd ed. New York: Springer.

Smith

M. D.

2003. Modelling sample selection using Archimedean copulas. Econometrics Journal 6: 99–123.

Trivedi

P. K.

, and Zimmer

D. M.

2005. Copula modeling: An introduction for practitioners. Foundations and Trends in Econometrics 1: 1–111.

10.

Vijverberg

W. P. M.

, and Zeager

L. A.

1994. Comparing earnings profiles in urban areas of an LDC: Rural-to-urban migrants vs. native workers. Journal of Development Economics 45: 177–199.

11.

Vuong

Q. H.

1989. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57: 307–333.

12.

Wooldridge

J. M.

2010. Econometric Analysis of Cross Section and Panel Data. 2nd ed. Cambridge, MA: MIT Press.