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The copula approach to sample selection modelling: an application to the recreational value of forests

Genius, Margarita - Strazzera, Elisabetta (2003) The copula approach to sample selection modelling: an application to the recreational value of forests. Working Paper. CRENoS.

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Official URL: http://www.crenos.it/working/pdf/03-08.pdf

Abstract

The sample selection model is based upon a bivariate or a multivariate structure, and distributional assumptions are in this context more severe than in univariate settings, due to the limited availability of tractable multivariate distributions. While the standard FIML estimation of the selectivity model assumes normality of the joint distribution, alternative approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in FIML models. The copula model is very useful in situations where the applied researcher has a prior on the distributional form of the margins, since it allows separating their modelling from that of the dependence structure. In the present paper the copula approach to sample selection is first compared to the semiparametric approach and to the standard FIML, bivariate normal model, in an illustrative application on female work data. Then its performance is analysed more thoroughly in an application to Contingent Valuation data on recreational values of forests.

Item Type:Technical Report / Working Paper / Project Report (Working Paper)
Publisher:CRENoS
Date:November 2003
Institution:Universita' degli Studi di Cagliari
Divisions:Centri > CRENoS Centro Ricerche Economiche Nord Sud
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/06 Economia applicata
Uncontrolled Keywords:Contingent Valuation, selectivity bias, bivariate Models, Ccopulas
ID Code:265
Deposited On:11 Nov 2008 09:41

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