A semiparametric approach for a multivariate sample selection model - Inserm - Institut national de la santé et de la recherche médicale Accéder directement au contenu
Article Dans Une Revue Statistica Sinica Année : 2010

A semiparametric approach for a multivariate sample selection model

Résumé

Most of the common estimation methods for sample selection models rely heavily on parametric and normality assumptions. We consider in this paper a multivariate semiparametric sample selection model and develop a geometric approach to the estimation of the slope vectors in the outcome equation and in the selection equation. Contrary to most existing methods, we deal symmetrically with both slope vectors. Moreover, the estimation method is link-free and distributionfree. It works in two main steps: a multivariate sliced inverse regression step, and a canonical analysis step. We establish pn-consistency and asymptotic normality of the estimates. We describe how to estimate the observation and selection link functions. The theory is illustrated with a simulation study.
Fichier principal
Vignette du fichier
SS-07-341revised.pdf (347.86 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

inserm-00367315 , version 1 (22-06-2011)

Identifiants

  • HAL Id : inserm-00367315 , version 1

Citer

Marie Chavent, Benoit Liquet, Jérôme Saracco. A semiparametric approach for a multivariate sample selection model. Statistica Sinica, 2010, 20 (2), pp.513-536. ⟨inserm-00367315⟩

Collections

INSERM CNRS IMB
328 Consultations
171 Téléchargements

Partager

Gmail Facebook X LinkedIn More