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A penalized likelihood estimation approach to semiparametric sample selection binary response modeling. (English) Zbl 1337.62170
Summary: Sample selection models are employed when an outcome of interest is observed for a restricted non-randomly selected sample of the population. We consider the case in which the response is binary and continuous covariates have a nonlinear relationship to the outcome. We introduce two statistical methods for the estimation of two binary regression models involving semiparametric predictors in the presence of non-random sample selection. This is achieved using a multiple-stage procedure, and a newly developed simultaneous equation estimation scheme. Both approaches are based on the penalized likelihood estimation framework. The problems of identification and inference are also discussed. The empirical properties of the proposed approaches are studied through a simulation study. The methods are then illustrated using data from the American National Election Study where the aim is to quantify public support for school integration. If non-random sample selection is neglected then the predicted probability of giving, for instance, a supportive response may be biased, an issue that can be tackled using the proposed tools.

MSC:
62J07 Ridge regression; shrinkage estimators (Lasso)
62D05 Sampling theory, sample surveys
62G08 Nonparametric regression and quantile regression
62P20 Applications of statistics to economics
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