ESTIMASI PARAMETER PADA MODEL SELEKSI SAMPEL HECKMAN DENGAN KOVARIAT ENDOGEN MENGGUNAKAN PENDEKATAN KEMUNGKINAN MAKSIMUM INFORMASI PENUH
| Autor: | Kunti Robiatul Mahmudah |
|---|---|
| Jazyk: | English<br />Indonesian |
| Rok vydání: | 2024 |
| Předmět: | |
| Zdroj: | Jurnal Lebesgue, Vol 5, Iss 1, Pp 289-299 (2024) |
| Druh dokumentu: | article |
| ISSN: | 2721-8929 2721-8937 |
| DOI: | 10.46306/lb.v5i1.558 |
| Popis: | The linear regression model is a statistical tool used to model the causal relationship of a dependent variable based on one or several independent or explanatory variables. In scenarios where the dependent variable is a censored variable and there is potential to exist sample selection, the sample selection model can be an alternative in analyzing this relationship. In the Heckman sample selection model, independent variables have the possibility of having an endogeneity effect, where they should be treated as endogenous variables in both the outcome equation and the selection equation instead of as exogenous variables. In result, by including endogenous covariates in the Heckman sample selection model, the sample selection model equation will have more than one equation and makes it a simultaneous equation. To estimate simultaneous equations, simple estimation methods such as the maximum likelihood estimator method are no longer appropriate. In this study, we will discuss the estimation of sample selection models with endogenous covariates utilizing the full information maximum estimator (FIML) approach. The sample selection model with endogenous covariates was then applied to the women labor supply data of Tomas Mroz's research and compared with several models. Based on the MSE and SSE values obtained from the linear regression model, Tobit regression model, Heckman sample selection model, and sample selection model with endogenous covariates, it was concluded that the Heckman sample selection model is the best model that fit the dataset since it yields the best results with the smallest MSE and SSE values |
| Databáze: | Directory of Open Access Journals |
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