Applying the Copula Approach to Sample Selection Modelling
Abstract: The limited availability of tractable multivariate distributions undermines the validity of the standard parametric approach to sample selection modelling. Copula distributions can be very useful in situations where the applied researcher has a prior on the distributional form of the margins, since the modelling of the latter is separated from that of the dependence structure. The present paper first presents an application to female work data. Afterwards, the approach is analysed in an application to contingent valuation data on recreational values of forests. It is shown that the copula approach is especially beneficial in case of strong departures from the hypothesis of normality
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Applied Economics ; 40 (2008) 11 ; 1443-1455
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2008
- Creator
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Genius, Margarita
Strazzera, Elisabetta
- DOI
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10.1080/00036840600794348
- URN
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urn:nbn:de:0168-ssoar-240108
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:50 PM CET
Data provider
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Associated
- Genius, Margarita
- Strazzera, Elisabetta
Time of origin
- 2008
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Trending Mixture Copula Models with Copula Selection
Copula modelling to analyse financial data
Nonseparable sample selection models with censored selection rules
Modelling of vector MEM with hierarchical Archimedean copula
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Spatial differentiation for sample selection models
Endogenous sample selection: A laboratory study
A hierarchical Archimedean copula for portfolio credit risk modelling
Applying the Copula Approach to Sample Selection Modelling
A flexible sample selection model: A GTL-copula approach
The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Trending Mixture Copula Models with Copula Selection
Copula modelling to analyse financial data
Nonseparable sample selection models with censored selection rules
Modelling of vector MEM with hierarchical Archimedean copula
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Spatial differentiation for sample selection models
Endogenous sample selection: A laboratory study
A hierarchical Archimedean copula for portfolio credit risk modelling
Applying the Copula Approach to Sample Selection Modelling
A flexible sample selection model: A GTL-copula approach
The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Trending Mixture Copula Models with Copula Selection
Copula modelling to analyse financial data
Nonseparable sample selection models with censored selection rules
Modelling of vector MEM with hierarchical Archimedean copula
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Spatial differentiation for sample selection models
Endogenous sample selection: A laboratory study