Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas
Phillip Li, Mohammad Arshad Rahman · Advances in econometrics · 2011
We consider the Bayes estimation of a multivariate sample selection model with p pairs of selection and outcome variables. Each of the variables may be discrete or continuous with a parametric marginal distribution, and their dependence structure is modeled through a Gaussian copula function. Markov chain Monte Carlo methods are used to simulate from the posterior distribution of interest. The methods are illustrated in a simulation study and an application from transportation economics.