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    Copula regression spline sample selection models: the R Package SemiParSampleSel

    Wojtys, M and Marra, G. and Radice, Rosalba (2016) Copula regression spline sample selection models: the R Package SemiParSampleSel. Journal of Statistical Software 71 (6), ISSN 1548-7660.

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    Abstract

    Sample selection models deal with the situation in which an outcome of interest is observed for a restricted non-randomly selected sample of the population. The estimation of these models is based on a binary equation, which describes the selection process, and an outcome equation, which is used to examine the substantive question of interest. Classic sample selection models assume a priori that continuous covariates have a linear or pre-specified non-linear relationship to the outcome, and that the distribution linking the two equations is bivariate normal. We introduce the R package SemiParSampleSel which implements copula regression spline sample selection models. The proposed implementation can deal with non-random sample selection, non-linear covariate-response relationships, and non-normal bivariate distributions between the model equations. We provide details of the model and algorithm and describe the implementation in SemiParSampleSel. The package is illustrated using simulated and real data examples.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): copula, non-random sample selection, penalized regression spline, selection bias, R.
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Rosalba Radice
    Date Deposited: 25 Aug 2016 08:15
    Last Modified: 08 Feb 2017 15:46
    URI: http://eprints.bbk.ac.uk/id/eprint/12510

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