Sample Selection Models with Monotone Control Functions
2018/11/23
研討會日期 : 2018-11-23
時間 : 14:30
主講人 : Professor Zhengfei Yu (余征飛)
主持人 : Professor Tzu-Ting Yang
地點 : Conference Room B110
演講者簡介 : Professor Yu received his Ph.D. from University of British Columbia in Vancouver, Canada. He is currently an Assistant Professor at Faculty of Humanities and Social Sciences, University of Tsukuba in Japan. His research field is Econometrics.
演講摘要 : The celebrated Heckman selection model yields a monotone selection correction function (control function) proportional to the inverse Mills ratio. We study a sample selection model which does not impose parametric distributional assumptions on the latent error terms, while maintaining the monotonicity of the control function. We show that a positive (negative) dependence condition on the latent error terms is sufficient for the monotonicity of the control function. The condition is equivalent to a restriction on the copula function of latent error terms. Utilizing the monotonicity, we propose a tuning-parameter-free semiparametric estimation method and establish root n-consistency and asymptotic normality for the estimator of finite-dimensional parameters. We also develop a new test for selectivity based on our shape- restricted estimation.
