On the Estimation of Selection Models When Participation is Endogenous and Misclassified

34 Pages Posted: 30 Nov 2010 Last revised: 13 Feb 2015

See all articles by Ian M. McCarthy

Ian M. McCarthy

Emory University - Department of Economics

Rusty Tchernis

Georgia State University - Department of Economics; National Bureau of Economic Research (NBER); IZA Institute of Labor Economics

Date Written: November 1, 2010

Abstract

This paper presents a Bayesian analysis of the endogenous treatment model with misclassifed treatment participation. Our estimation procedure utilizes a combination of data augmentation, Gibbs sampling, and Metropolis-Hastings to obtain estimates of the misclassifcation probabilities and the treatment effect. Simulations demonstrate that the proposed Bayesian estimator accurately estimates the treatment effect in light of misclassifcation and endogeneity.

Keywords: Misclassification, Misreporting, Endogeneity, Selection on Observables, Measurement Error, Bayesian Econometrics

JEL Classification: C31, C35, C51, C52

Suggested Citation

McCarthy, Ian M. and Tchernis, Rusty, On the Estimation of Selection Models When Participation is Endogenous and Misclassified (November 1, 2010). McCarthy, I. and R. Tchernis. 2011. “On the Estimation of Selection Models when Participation is Endogenous and Misclassified,” in D. Drukker (Ed.), Advances in Econometrics, Missing-Data Methods: Cross-sectional Methods and Applications 27:179-207. London: Emerald Group Publishing., Available at SSRN: https://ssrn.com/abstract=1717166 or http://dx.doi.org/10.2139/ssrn.1717166

Ian M. McCarthy

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

Rusty Tchernis (Contact Author)

Georgia State University - Department of Economics ( email )

P.O. Box 3992
Atlanta, GA 30302-3992
United States

HOME PAGE: http://www2.gsu.edu/~ecort

National Bureau of Economic Research (NBER)

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IZA Institute of Labor Economics ( email )

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