15 research outputs found
On the estimation of a binary response model in a selected population
A generalization of the Probit model is presented, with the extended skew-normal
cumulative distribution as a link function, which can be used for modelling a binary
response variable in the presence of selectivity bias. The estimate of the parameters via
ML is addressed, and inference on the parameters expressing the degree of selection is
discussed. The assumption underlying the model is that the selection mechanism
influences the unmeasured factors and does not affect the explanatory variables. When
this assumption is violated, but other conditional independencies hold, then the model
proposed here is derived. In particular, the instrumental variable formula still applies
and the model results at the second stage of the estimating procedure