A generalization of the Probit model is presented, with the extended skew-normal cumulative distribution as a link function, which can be used for modelling a binary response variable in the presence of selectivity bias. The estimate of the parameters via ML is addressed, and inference on the parameters expressing the degree of selection is discussed. The assumption underlying the model is that the selection mechanism influences the unmeasured factors and does not affect the explanatory variables. When this assumption is violated, but other conditional independencies hold, then the model proposed here is derived. In particular, the instrumental variable formula still applies and the model results at the second stage of the estimating procedure.
On the estimation of a binary response model in a selected population
STANGHELLINI, Elena;
2011
Abstract
A generalization of the Probit model is presented, with the extended skew-normal cumulative distribution as a link function, which can be used for modelling a binary response variable in the presence of selectivity bias. The estimate of the parameters via ML is addressed, and inference on the parameters expressing the degree of selection is discussed. The assumption underlying the model is that the selection mechanism influences the unmeasured factors and does not affect the explanatory variables. When this assumption is violated, but other conditional independencies hold, then the model proposed here is derived. In particular, the instrumental variable formula still applies and the model results at the second stage of the estimating procedure.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
