Bayesian inference in a sample selection model

Journal of Econometrics

Volumn 165, Issue 2, 2011, Pages 221-232

  Van Hasselt, Martijn ^a  

^a RTI INTERNATIONAL   (United States)

Author keywords

Dirichlet process; Gibbs sampling; Mixture distributions; Sample selection

Indexed keywords

BAYESIAN INFERENCE; DIRICHLET PROCESS; GIBBS SAMPLING; MIXTURE DISTRIBUTIONS; NON-NORMALITY; POSTERIOR DISTRIBUTIONS; RANDOM NUMBERS; SAMPLE SELECTION; SIMULATED DATA;

ALGORITHMS; BAYESIAN NETWORKS; HEALTH INSURANCE; INFERENCE ENGINES; MODELS; RISK ASSESSMENT;

NORMAL DISTRIBUTION;

EID: 80054691483     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.08.003     Document Type: Article

References (45)

1. H. Ahn, and J.L. Powell Semiparametric estimation of censored selection models with a nonparametric selection mechanism Journal of Econometrics 58 1993 3 29
2. J.H. Albert, and S. Chib Bayesian analysis of binary and polychotomous response data Journal of the American Statistical Association 88 1993 669 679
3. T. Amemiya Advanced Econometrics 1985 Harvard University Press
4. C.E. Antoniak Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems Annals of Statistics 2 1974 1152 1174
5. M. Bayarri, and J. Berger Robust Bayesian analysis of selection models Annals of Statistics 26 1998 645 659
6. M. Bayarri, and M. DeGroot Bayesian analysis of selection models Journal of the Royal Statistical Society, Series D (The Statistician) 36 1987 137 146
7. M.-H. Chen, Q.-M. Shao, and J.G. Ibrahim Monte Carlo Methods in Bayesian Computation 2000 Springer-Verlag New York
8. S. Chib Marginal likelihood from the Gibbs output Journal of the American Statistical Association 90 1995 1313 1321 (Pubitemid 126093144)
9. S. Chib, E. Greenberg, and I. Jeliazkov Estimation of semiparametric models in the presence of endogeneity and sample selection Journal of Computational and Graphical Statistics 18 2009 321 348
10. T.G. Conley, C.B. Hansen, R.E. McCulloch, and P.E. Rossi A semi-parametric Bayesian approach to the instrumental variable problem Journal of Econometrics 144 2008 276 305
11. Cosslett, S.R., 1991. Semiparametric estimation of a regression model with sample selectivity. In: W.A. Barnett, J. Powell, and G. Tauchen, (Eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics. Cambridge, UK, pp. 175197.
12. P. Deb, and P.K. Trivedi The structure of demand for health care: latent class versus two-part models Journal of Health Economics 21 2002 601 625
13. M.D. Escobar Estimating normal means with a Dirichlet process prior Journal of the American Statistical Association 89 1994 268 277
14. M.D. Escobar, and M. West Bayesian density estimation and inference using mixtures Journal of the American Statistical Association 90 1995 577 588
15. M.D. Escobar, and M. West Computing nonparametric hierarchical models D. Dey, P. Mller, D. Sinha, Practical Nonparametric and Semiparametric Bayesian Statistics 1998 Springer New York 1 22
16. T.S. Ferguson A Bayesian analysis of some nonparametric problems Annals of Statistics 1 1973 209 230
17. T.S. Ferguson Prior distributions on spaces of probability measures Annals of Statistics 2 1974 615 629
18. S. Frwirth-Schnatter Finite Mixture and Markov Switching Models 2006 Springer
19. A. Gallant, and D. Nychka Semi-nonparametric maximum likelihood estimation Econometrica 55 1987 363 390
20. A. Gelman, J.B. Carlin, H.S. Stern, and D.B. Rubin Bayesian Data Analysis 1995 Chapman & Hall
21. R. Gronau Wage comparisonsa selectivity bias The Journal of Political Economy 82 1974 1119 1143
22. J.J. Heckman Shadow prices, market wages, and labor supply Econometrica 42 1974 679 694
23. J.J. Heckman Sample selection as a specification error Econometrica 47 1979 153 162
24. C. Hennig Identifiability of models for clusterwise linear regression Journal of Classification 17 2000 273 296 (Pubitemid 33229126)
25. Ichimura, H., Lee, L.-F., 1991. Semiparametric least squares estimation of multiple index models: single equation estimation. In: Barnett, W.A., Powell, J., and Tauchen, G. (Eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics, Cambridge, UK, pp. 349.
26. R.E. Kass, and A.E. Raftery Bayes factors Journal of the American Statistical Association 90 1995 773 795
27. G. Koop, and D.J. Poirier Learning about the across-regime correlation in switching regression models Journal of Econometrics 78 1997 217 227 (Pubitemid 127396353)
28. L.F. Lee Semiparametric two-stage estimation of sample selection models subject to Tobi t-type selection rules Journal of Econometrics 61 1994 305 344
29. J. Lee, and J. Berger Semiparametric Bayesian analysis of selection models Journal of the American Statistical Association 96 2001 1269 1276
30. K. Li Bayesian inference in a simultaneous equation model with limited dependent variables Journal of Econometrics 85 1998 387 400 (Pubitemid 128393739)
31. S.N. MacEachern Computational methods for mixture of Dirichlet process models D. Dey, P. Mller, D. Sinha, Practical Nonparametric and Semiparametric Bayesian Statistics 1998 Springer New York 23 44
32. C.F. Manski Identification of binary response models Journal of the American Statistical Association 83 1988 729 738
33. R.E. McCulloch, N.G. Polson, and P.E. Rossi A Bayesian analysis of the multinomial probit model with fully identified parameters Journal of Econometrics 99 2000 173 193
34. R.E. McCulloch, and P.E. Rossi An exact likelihood analysis of the multinomial probit model Journal of Econometrics 64 1994 207 240
35. M.K. Munkin, and P.K. Trivedi Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: an application to the demand for healthcare Journal of Econometrics 114 2003 197 220
36. R.M. Neal Markov chain sampling methods for Dirichlet process mixture models Journal of Computational and Graphical Statistics 9 2000 249 265
37. W. Newey Two-step series estimation of sample selection models The Econometrics Journal 12 2009 217 229
38. S. Richardson, and P.J. Green On Bayesian analysis of mixtures with an unknown number of components (with discussion) Journal of the Royal Statistical Society. Series B 59 1997 731 792 (Pubitemid 127686979)
39. M.A. Tanner, and W.H. Wong The calculation of posterior distributions by data augmentation Journal of the American Statistical Association 82 1987 528 550
40. H. Teicher Identifiability of finite mixtures The Annals of Mathematical Statistics 34 1963 1265 1269
41. L. Tierney Markov chains for exploring posterior distributions The Annals of Statistics 22 1994 1701 1728
42. B. Van der Klaauw, and R. Koning Testing the normality assumption in the sample selection model with an application to travel demand Journal of Business and Economic Statistics 21 2003 31 42 (Pubitemid 36116518)
43. F. Vella Estimating models with sample selection bias: a survey Journal of Human Resources 33 1998 127 169 (Pubitemid 128603279)
44. J.M. Wooldridge Econometric Analysis of Cross Section and Panel Data 2002 MIT Press
45. S.J. Yakowitz, and J.D. Spragins On the identifiability of finite mixtures The Annals of Mathematical Statistics 39 1968 209 214