Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example
AbstractThe t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This paper provides some experimental evidence on the finite sample properties of the t-test in models with sample selection biases, through a comparison of the t-test with the likelihood ratio and Lagrange multiplier tests, which are asymptotically equivalent to the squared t-test. The finite sample problems with the t-test are shown to be alarming, and much more serious than in models such as binary choice models. An empirical example is also presented to highlight the differences in the calculated test statistics.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 20 (2001)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.tandfonline.com/LECR20
Find related papers by JEL classification:
- JEL - Labor and Demographic Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Rosalie Viney & Marion Haas & Rochelle Belkar & Denzil G. Fiebig, 2004.
"Why worry about awareness in choice problems? Econometric analysis of screening for cervical cancer,"
Econometric Society 2004 Australasian Meetings
109, Econometric Society.
- Rochelle Belkar & Denzil G. Fiebig & Marion Haas & Rosalie Viney, 2006. "Why worry about awareness in choice problems? Econometric analysis of screening for cervical cancer," Health Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 33-47.
- Yamagata. T., 2005.
"On Testing Sample Selection Bias under the Multicollinearity Problem,"
Cambridge Working Papers in Economics
0522, Faculty of Economics, University of Cambridge.
- Takashi Yamagata & Chris Orme, 2005. "On Testing Sample Selection Bias Under the Multicollinearity Problem," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 467-481.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004.
"Estimation of Markov regime-switching regression models with endogenous switching,"
2003-015, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
- Maria Ana Odejar & Kostas Mavromaras & Mandy Ryan, 2004. "Messy Data Modelling in Health Care Contingent Valuation Studies," Econometric Society 2004 North American Summer Meetings 406, Econometric Society.
- repec:ebl:ecbull:v:3:y:2007:i:54:p:1-10 is not listed on IDEAS
- Kazumitsu Nawata, 2007. "A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model," Economics Bulletin, AccessEcon, vol. 3(54), pages 1-10.
- Yamagata, Takashi, 2006. "The small sample performance of the Wald test in the sample selection model under the multicollinearity problem," Economics Letters, Elsevier, vol. 93(1), pages 75-81, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.