Bayesian robust inference of sample selection using selection-\(t\) models

DOI10.1016/j.jmva.2013.11.014zbMath1359.62079arXiv1401.1269OpenAlexW2043968828MaRDI QIDQ392110

Peng Ding

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.1269

zbMATH Keywords

sample selectiondata augmentationheavy-tailednessparameter expansionrestricted covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Bayesian inference (62F15)

Related Items (16)

On the Conditional Distribution of the Multivariate t Distribution ⋮ Robust modeling using non-elliptically contoured multivariate \(t\) distributions ⋮ Copula based generalized additive models for location, scale and shape with non-random sample selection ⋮ Birnbaum–Saunders sample selection model ⋮ Inverse regression approach to robust nonlinear high-to-low dimensional mapping ⋮ Bayesian hierarchical robust factor analysis models for partially observed sample-selection data ⋮ Performance of asymmetric links and correction methods for imbalanced data in binary regression ⋮ A Sample Selection Model with Skew-normal Distribution ⋮ Sample selection models for count data in R ⋮ New EM-type algorithms for the Heckman selection model ⋮ Heckman selection-\(t\) model: parameter estimation via the EM-algorithm ⋮ Comment: Reflections on the Deconfounder ⋮ Bayesian analysis of semiparametric Bernstein polynomial regression models for data with sample selection ⋮ Correcting for sample selection bias in Bayesian distributional regression models ⋮ Bivariate symmetric Heckman models and their characterization ⋮ Robust discrete choice models with \(t\)-distributed kernel errors

Uses Software

• R
• Stata
• sampleSelection

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Bayesian analysis of the multinomial probit model using marginal data augmentation
• Bayesian inference in a sample selection model
• Semiparametric estimation of censored selection models with a nonparametric selection mechanism
• Efficient ML estimation of the multivariate normal distribution from incomplete data
• Bayesian inference in a simultaneous equation model with limited dependent variables
• Learning about the across-regime correlation in switching regression models
• A Bayesian analysis of the multinomial probit model with fully identified parameters
• Generalized Econometric Models with Selectivity
• The Calculation of Posterior Distributions by Data Augmentation
• Sample Selection Bias as a Specification Error
• Asymptotic Statistics
• Parameter expansion to accelerate EM: the PX-EM algorithm
• Seeking efficient data augmentation schemes via conditional and marginal augmentation
• Nonparametric Estimation of Sample Selection Models
• Parameter Expansion for Data Augmentation
• A Heckman Selection-tModel
• Bayesian Analysis of Binary and Polychotomous Response Data
• Monte Carlo strategies in scientific computing

This page was built for publication: Bayesian robust inference of sample selection using selection-\(t\) models