Testing For Selectivity Bias In Panel Data Models
AbstractThe authors discuss several tests to check for the presence of selectivity bias in estimators based on panel data. One approach to test for selectivity bias is to specify the selection mechanism explicitly and estimate it jointly with the model of interest. Alternatively, one can derive the asymptotically efficient Lagrange multiplier test. Both approaches are computationally demanding. In this paper, the authors propose the use of simple variable addition and (quasi-) Hausman tests for selectivity bias that do not require any knowledge of the response process. They compare the power of these tests with the asymptotically efficient test using Monte Carlo methods. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Tilburg - Center for Economic Research in its series Papers with number 9018.
Length: 36 pages
Date of creation: 1990
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regression analysis ; estimator ; tests;
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- Heckman, James J, 1979.
"Sample Selection Bias as a Specification Error,"
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- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- Hausman, Jerry A, 1978.
"Specification Tests in Econometrics,"
Econometric Society, vol. 46(6), pages 1251-71, November.
- Baltagi, Badi H., 1985. "Pooling cross-sections with unequal time-series lengths," Economics Letters, Elsevier, vol. 18(2-3), pages 133-136.
- Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
- Hausman, Jerry A & Wise, David A, 1979. "Attrition Bias in Experimental and Panel Data: The Gary Income Maintenance Experiment," Econometrica, Econometric Society, vol. 47(2), pages 455-73, March.
- K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
- Charles F. Manski, 1989. "Anatomy of the Selection Problem," Journal of Human Resources, University of Wisconsin Press, vol. 24(3), pages 343-360.
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