Bayesian Inference in Spatial Sample Selection Models

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Doğan O., Taşpinar S.

Oxford Bulletin of Economics and Statistics, vol.80, no.1, pp.90-121, 2018 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 80 Issue: 1
  • Publication Date: 2018
  • Doi Number: 10.1111/obes.12187
  • Journal Name: Oxford Bulletin of Economics and Statistics
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.90-121
  • Istanbul Technical University Affiliated: Yes


In this study, we consider Bayesian methods for the estimation of a sample selection model with spatially correlated disturbance terms. We design a set of Markov chain Monte Carlo algorithms based on the method of data augmentation. The natural parameterization for the covariance structure of our model involves an unidentified parameter that complicates posterior analysis. The unidentified parameter – the variance of the disturbance term in the selection equation – is handled in different ways in these algorithms to achieve identification for other parameters. The Bayesian estimator based on these algorithms can account for the selection bias and the full covariance structure implied by the spatial correlation. We illustrate the implementation of these algorithms through a simulation study and an empirical application.