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Robustness in sample selection models

Marc G., Genton
Defense Thèse de doctorat : Univ. Genève, 2013 - SES 801 - 2013/05/17
Abstract The problem of non-random sample selectivity often occurs in practice in many different fields. In presence of sample selection, the data appears in the sample according to some selection rule. In these cases, the standard tools designed for complete samples, e.g. ordinary least squares, produce biased results, and hence, methods correcting this bias are needed. In his seminal work, Heckman proposed two estimators to solve this problem. These estimators became the backbone of the standard statistical analysis of sample selection models. However, these estimators are based on the assumption of normality and are very sensitive to small deviations from the distributional assumptions which are often not satisfied in practice. In this thesis we develop a general framework to study the robustness properties of estimators and tests in sample selection models. We use an infinitesimal approach, which allows us to explore the robustness issues and to construct robust estimators and tests.
Keywords Change-of-variance functionHeckman modelInfluence functionM-estimatorRRobust estimatorRobust inferenceSample selectionTime seriesTwo-stage estimatorTwo-stage least squares
URN: urn:nbn:ch:unige-279962
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ZHELONKIN, Mikhail. Robustness in sample selection models. Université de Genève. Thèse, 2013. doi: 10.13097/archive-ouverte/unige:27996 https://archive-ouverte.unige.ch/unige:27996

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Deposited on : 2013-05-27

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