| Self-Selection and Tests for Bias and
Risk in Mortgage Lending: Can You Price the Mortgage If You Don't Know the Process? Author: Robert F. Phillips and Anthony
M.J. Yezer
Start Page: 87
End Page: 102
Volume: 11
Issue Number: 1
Year: 1996
Publication: Journal of Real Estate Research
Abstract: There is increasing
interest in understanding the determinants of mortgage rejection by lenders and default by
borrowers. Although many researchers have proposed simple single-equation models of
rejection and default, we argue that far more complex econometric specifications are
needed. This paper focuses attention on problems of sample selection in the process
creating a sample of applicants for conventional mortgages. We illustrate that corrections
for sample selection bias may have a substantial effect on estimation results and hence
should not be ignored in studies of mortgage rejection or default.
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