A unified approach to multilevel sample selection models

Emmanuel O. Ogundimu*, Jane L. Hutton

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We propose a unified approach for multilevel sample selection models using a generalized result on skew distributions arising from selection. If the underlying distributional assumption is normal, then the resulting density for the outcome is the continuous component of the sample selection density and has links with the closed skew-normal distribution (CSN). The CSN distribution provides a framework which simplifies the derivation of the conditional expectation of the observed data. This generalizes the Heckmans two-step method to a multilevel sample selection model. Finite-sample performance of the maximum likelihood estimator of this model is studied through a Monte Carlo simulation.

Original languageEnglish
Pages (from-to)2592-2611
Number of pages20
JournalCommunications in Statistics - Theory and Methods
Volume45
Issue number9
Early online date6 Apr 2016
DOIs
Publication statusPublished - 2 May 2016

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