Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/67274 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 7003
Verlag: 
Institute for the Study of Labor (IZA), Bonn
Zusammenfassung: 
In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data that it represents. Copulas help create versatile representations of bivariate distribution. The versatility arising from inserting GTL marginal distributions into copula-constructed bivariate distributions reduces the dependence of estimated parameters on distributional assumptions in applied research. A thorough Monte Carlo study illustrates that our proposed estimator performs well under normal and nonnormal settings, both with and without an instrument in the selection equation that fulfills the exclusion restriction that is often considered to be a requisite for implementation of sample selection models in empirical research. Five applications ranging from wages and health expenditures to speeding tickets and international disputes illustrate the value of the proposed GTL-copula estimator.
Schlagwörter: 
sample selection
copula
Generalized Tukey Lambda distribution
JEL: 
C24
C35
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
4.25 MB





Publikationen in EconStor sind urheberrechtlich geschützt.