Full-information Bayesian Estimation of Cross-sectional Sample Selection Models
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Author / Producer
Date
2020-10-19
Publication Type
Book Chapter
ETH Bibliography
yes
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Abstract
This chapter proposes an approach toward the estimation of cross-sectional sample selection models, where the shocks on the units of observation feature some interdependence through spatial or network autocorrelation. In particular, this chapter improves on prior Bayesian work on this subject by proposing a modified approach toward sampling the multivariate-truncated, cross-sectionally dependent latent variable of the selection equation. This chapter outlines the model and implementation approach and provides simulation results documenting the better performance of the proposed approach relative to existing ones.
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Publication status
published
Book title
The Econometrics of Networks
Journal / series
Volume
42
Pages / Article No.
205 - 234
Publisher
Emerald
Event
Edition / version
1st Edition
Methods
Software
Geographic location
Date collected
Date created
Subject
Sample selection models; Spatial econometrics; Network econometrics; Bayesian econometrics; Cross-section models; Full information estimators
Organisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
03840 - Egger, Peter / Egger, Peter