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séminaire CREST du 10 Février 2011

Stéphane BONHOMME (CEMFI, Espagne)
"Quantile Regression Models"
avec Manuel Arellano

de 14 h à 15 h 30 en Salle S016 à l'INSEE-CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).

Résumé :
We propose a method to correct for sample selection in quantile regression models.

Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated using an iterated nonlinear least squares procedure. Given copula parameters, the percentile levels of the outcome are re-ajusted to correct for selection, and quantile parameters are estimated by minimizing a rotated "check" function. We apply the method to correct wage percentiles for selection into employment, using data for the UK for the period 1978-2000. We find that correcting for sample selection magnifies the increase in wage inequality over the period