Estimation of sample selection models with two selection mechanisms

نویسندگان

چکیده

منابع مشابه

Estimation of sample selection models with two selection mechanisms

This paper focuses on estimating limited dependent variable models with incidentally truncated data and two selection mechanisms. While typical sample selection models have been widely estimated, extensions to multiple selection mechanisms have been sparse due to intractable likelihood functions or estimation algorithms with slow convergence. This paper extends the sampling algorithm from Chib ...

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We examine how the criteria for choosing estimation samples (peer firms) affect the ability to detect discretionary accruals, using several variants of the Jones (1991) model. Researchers commonly estimate accruals models in cross-section, and define the estimation sample as all firms in the same industry. We examine whether firm size performs at least as well as industry membership as the crit...

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Estimation of Dynamic Panel Data Models with Sample Selection

We thank the editor M. Hashem Pesaran and three anonymous referees for their useful comments. 1 Summary We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively ...

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Model Selection for Mixture Models Using Perfect Sample

We have considered a perfect sample method for model selection of finite mixture models with either known (fixed) or unknown number of components which can be applied in the most general setting with assumptions on the relation between the rival models and the true distribution. It is, both, one or neither to be well-specified or mis-specified, they may be nested or non-nested. We consider mixt...

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ژورنال

عنوان ژورنال: Computational Statistics & Data Analysis

سال: 2011

ISSN: 0167-9473

DOI: 10.1016/j.csda.2010.09.006