An Alternative Estimator for the Quantile Sample Selection Model with Continuous and Endogenous Regressors

Speaker：ZHOU Yahong（Professor School of Economics, Shanghai University of Finance and Economics）

Host：ZHOU Xianbo, Professor, Lingnan College

Time and Date：14:30-16:30, Apr. 8, 2022

Venue: Wang Daohan Conference Room，Lingnan Hall

Language: English +Chinese

Abstract:

Arellano and Bonhomme (2017) studied quantile sample selection model with endogeneity in the spirit of inverse quantile regression approach motivated by Chernozhukov and Hansen (2006). This paper corrects for endogeneity by adopting a control function approach. Similarly with Arellano and Bonhomme (2017), we correct for sample selection by modeling the error terms in outcome and selection equation via the copula structure. We facilitate the estimation procedure by carrying out the series approximation of the functional of control variable included as an additional explanatory variable in the primary outcome equation. Compared with the inverse quantile regression, the control function approach is easy to implement and avoids solving high-dimensional optimization problem of non-convex objection function. We develop the asymptotic normality for our estimator. We also propose a test for the existence of endogeneity. Finite sample results of our estimator and the comparison with inverse quantile regression are presented. As an illustration, we apply our method to estimate the impacts of woman's education on the wage offer.

 Profile of the speaker:

Professor Zhou Yahong, Dean of School of Economics, Shanghai University of Finance and Economics. He has long been devoted to the research of micro-econometrics and micro-economics. He has published dozens of articles in internationally renowned journals such as Journal of Econometrics, Journal of Business & Economic Statistics, Econometric Theory and domestic authoritative journals such as Economic Research, and has hosted many national Natural Science Foundation projects, including 1 key project of the National Natural Science Foundation of China. His research achievements have successively won the third prize of the 11th Shanghai Philosophy and Social Science Outstanding Achievement Award (2012), the third prize of the Outstanding Scientific Research Achievement Award (Humanities and Social Sciences) of Higher Education Institutions (2013), and the 13th Shanghai Municipal Award for Outstanding Achievements (2012). The first prize of the Philosophy and Social Sciences Outstanding Achievement Award (2016) and the 6th National Outstanding Fiscal Theory Research Achievement Award (2017).