SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE

DOI10.1081/ETC-100104082zbMath1019.62019MaRDI QIDQ4406238

Michael McAleer, Kazumitsu Nawata

Publication date: 25 August 2003

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

t-testWald testsample selection bias

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (5)

The small sample performance of the Wald test in the sample selection model under the multicollinearity problem ⋮ A Monte Carlo comparison of estimators for a bivariate probit model with selection ⋮ On Testing Sample Selection Bias Under the Multicollinearity Problem ⋮ Estimation of Markov regime-switching regression models with endogenous switching ⋮ The Sample Selection Model from a Method of Moments Perspective

Cites Work

• A Monte Carlo comparison of estimators for censored regression models
• A note on the estimation of models with sample-selection biases
• Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator
• Alternative forms of the wald test: how long is a piece of string?
• Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator
• Invariance, Nonlinear Models, and Asymptotic Tests
• Sample Selection Bias as a Specification Error
• Estimation of sample selection bias models

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