On Testing Sample Selection Bias Under the Multicollinearity Problem

DOI10.1080/02770900500406132MaRDI QIDQ5719303zbMATH OpenOpenAlexFDO

Authors Takashi Yamagata, Chris D. Orme

Publication date 18 January 2006

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0522.pdf

zbMATH Keywords

Wald testlikelihood ratio testLagrange multiplier test\(t\)-testsample selection bias

Mathematics Subject Classification ID

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

Recommendations

• The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
• SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
• Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator
• The Lagrangean multiplier test for a model with two selectivity criteria
• Robust inference in sample selection models

Cites work

• A note on the estimation of models with sample-selection biases
• Asymptotic Expansions of the Information Matrix Test Statistic
• Collinearity and two-step estimation of sample selection models: Problems, origins, and remedies
• Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator
• Estimation of sample selection bias models
• Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator
• On the choice between sample selection and two-part models
• SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
• Sample Selection Bias as a Specification Error
• Sample Selection Bias as a Specification Error: A Comment
• Testing for Sample Selection Bias

Cited in

(6)

• Sample selection issues and applications
• SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
• The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
• A Generalized Heckman Model With Varying Sample Selection Bias and Dispersion Parameters
• The Lagrangean multiplier test for a model with two selectivity criteria
• Collinearity and two-step estimation of sample selection models: Problems, origins, and remedies

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