Sample selection models for discrete and other non-Gaussian response variables (1609.03692v1)

Abstract: Consider observation of a phenomenon of interest subject to selective sampling due to a censoring mechanism regulated by some other variable. In this context, an extensive literature exists linked to the so-called Heckman selection model. A great deal of this work has been developed under Gaussian assumption of the underlying probability distributions; considerably less work has dealt with other distributions. We examine a general construction which encompasses a variety of distributions and allows various options of the selection mechanism, focusing especially on the case of discrete response. Inferential methods based on the pertaining likelihood function are developed.