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

Takuya Hasebe

doi:10.1177/1536867x1301300307

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

Takuya Hasebe

Year: 2013 Journal: The Stata Journal Promoting communications on statistics and Stata Vol: 13 (3)Pages: 547-573 Publisher: SAGE Publishing

DOI: 10.1177/1536867x1301300307

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Abstract

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

Keywords:

Copula (linguistics) Maximum likelihood Model selection Econometrics Selection (genetic algorithm) Statistics Computer science Maximum likelihood sequence estimation Mathematics Artificial intelligence

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

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

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