Concepedia

Copula-Based Maximum-Likelihood Estimation of Sample-Selection Models

The Stata Journal Promoting communications on statistics and Stata · 2013 · 54 citations · 10 references

Open access

Concepts

Natural SciencesBiostatisticsMathematicsStatistical ModelingStatisticsInferential StatisticsLikelihood EstimationMaximum Likelihood EstimationSample Selection ModelsStatistical InferenceCopula EstimationCopula ModelsCopula-based Sample Selection ModelsElliptical CopulasMaximum Likelihood Estimation Algorithms

Abstract

I describe the commands heckmancopula and switchcopula, which implement copula-based maximum-likelihood estimations of sample-selection models.

References

10

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Quang Vuong · Econometrica · 1989 · 6K citations

Natural Sciences, Biostatistics, Econometrics +16

Bayesian Analysis of Binary and Polychotomous Response Data

James H. Albert, Siddhartha Chib · Journal of the American Statistical Association · 1993 · 3.1K citations

Public Health, Biostatistics, Categorical Data Analysis +16

Generalized Econometric Models with Selectivity

Lung-Fei Lee · Econometrica · 1983 · 1.4K citations · Full text

Social Sciences, Business Economics, Economics +6

Maximum Likelihood Estimation of Endogenous Switching Regression Models

Michael Lokshin, Zurab Sajaia · The Stata Journal Promoting communications on statistics and Stata · 2004 · 934 citations · Full text

Social Sciences, Economics, Econometrics +7

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

Christian Gouriéroux, Alberto Holly, Alain Monfort · Econometrica · 1982 · 474 citations

Social Sciences, Economics, A/b Testing +14