Finding Quantile Gains of Movers with Selection Correction under Heteroskedasticity and Hetero-Correlation
2016/11/22
研討會日期 : 2016-11-22
時間 : 14:30
主講人 : Professor Myoung-Jae Lee
主持人 : Professor Yu-Chin Hsu
地點 : Conference Room B110
演講者簡介 : Professor Lee received his Ph.D. in Economics from University of Wisconsin-Madison in 1989. He is currently a Professor of Economics at Korea University. His primary research fields are Econometrics and Statistics; Secondary are Labor and Health Economics.
演講摘要 : The usual remedy for a sample selection problem is selection correction approach of adding a term to the model to negate the bias due to the selection; the selection correction term per se is not of interest, but a nuisance. If the selection is an individual choice of moving out of a state, however, the selection correction term is of interest on its own, because it represents a gain in selection/move. This paper finds quantiles of the gain distribution for the movers from one state to another, using quantile selection correction terms. Our approach is fully parametric, but we allow heteroskedasticity and hetero-correlation between the error terms in the selection and outcome equations, whereas existing methods hardly allow any of those. More importantly, our approach enables comparing the movers to the stayers, whereas the existing methods can compare the movers only to the population consisting of the movers and stayers; the latter dilutes the mover effect, and thus becomes possibly misleading. We apply our approach to a real data set to demonstrate that heteroskedasticity and hetero-correlation matter greatly, and comparing the movers to the stayers is far more informative than comparing the movers to the population.
