A unified approach to multilevel sample selection models

Ogundimu, Emmanuel O.; Hutton, Jane L.

Abstract

We propose a unified approach for multilevel sample selection models using a generalized result on skew distributions arising from selection. If the underlying distributional assumption is normal, then the resulting density for the outcome is the continuous component of the sample selection density and has links with the closed skew-normal distribution (CSN). The CSN distribution provides a framework which simplifies the derivation of the conditional expectation of the observed data. This generalizes the Heckman’s two-step method to a multilevel sample selection model. Finite-sample performance of the maximum likelihood estimator of this model is studied through a Monte Carlo simulation.

Citation

Ogundimu, E. O., & Hutton, J. L. (2016). A unified approach to multilevel sample selection models. Communications in Statistics - Theory and Methods, 45(9), 2592-2611. https://doi.org/10.1080/03610926.2014.887108

• Journal Article Type: Article
• Acceptance Date: Jun 21, 2014
• Online Publication Date: Apr 6, 2016
• Publication Date: 2016
• Deposit Date: Oct 11, 2020
• Publicly Available Date: Oct 15, 2021
• Journal: Communications in Statistics - Theory and Methods
• Print ISSN: 0361-0926
• Electronic ISSN: 1532-415X
• Publisher: Taylor and Francis Group
• Peer Reviewed: Peer Reviewed
• Volume: 45
• Issue: 9
• Pages: 2592-2611
• DOI: https://doi.org/10.1080/03610926.2014.887108
• Public URL: https://durham-repository.worktribe.com/output/1259849