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Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note

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  • Vance, Colin

Abstract

This paper illustrates two techniques for calculating the statistical significance of the marginal effects derived from Heckman?s sample selection model,an increasingly common econometric specification in political science. The discussion draws on an analysis by Sweeney (2003) of the incidence and intensity of interstate disputes. After replicating his results, the paper presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining standard errors of the marginal effects, which themselves are calculated from a transformation of the model parameters.The analysis reveals two variables for which misleading inferences are drawn with respect to the precision of the estimated coefficients in the original study, suggesting that significance testing of the derived marginal effects is warranted.

Suggested Citation

  • Vance, Colin, 2006. "Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note," RWI Discussion Papers 39, RWI - Leibniz-Institut für Wirtschaftsforschung.
    • Handle: RePEc:zbw:rwidps:39
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    References listed on IDEAS

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    1. Papke, Leslie E. & Wooldridge, Jeffrey M., 2005. "A computational trick for delta-method standard errors," Economics Letters, Elsevier, vol. 86(3), pages 413-417, March.
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    7. Colin Vance & Jacqueline Geoghegan, 2004. "Modeling the Determinants of Semi-Subsistent and Commercial Land Uses in an Agricultural Frontier of Southern Mexico: A Switching Regression Approach," International Regional Science Review, , vol. 27(3), pages 326-347, July.
    8. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
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    Cited by:

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    11. Frondel Manuel & Vance Colin, 2013. "On Interaction Effects: The Case of Heckit and Two-Part Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(1), pages 22-38, February.
    12. Colin Vance & Ralf Hedel, 2006. "On the Link between Urban Form and Automobile Use - Evidence from German Survey Data," RWI Discussion Papers 0048, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.
    13. Moumita Poddar & Tanmoyee Banerjee (Chatterjee) & Ajitava Raychaudhuri, 2019. "An economic analysis of the determinants of pattern of institutional borrowing in India," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 21(1), pages 54-92, June.
    14. Serge Atherwood & Corey S Sparks, 2019. "Early-career trajectories of young workers in the U.S. in the context of the 2008–09 recession: The effect of labor market entry timing," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-30, March.
    15. Colin Vance & Ralf Hedel, 2008. "On the Link Between Urban Form and Automobile Use: Evidence from German Survey Data," Land Economics, University of Wisconsin Press, vol. 84(1), pages 51-65.
    16. Rhodes, Charles, 2012. "An Empirical Analysis of Socio-Demographic Stratification in Sweetened Carbonated Soft-Drink Purchasing," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124678, Agricultural and Applied Economics Association.
    17. Chiabai, Aline & Quiroga, Sonia & Martinez-Juarez, Pablo & Suárez, Cristina & García de Jalón, Silvestre & Taylor, Tim, 2020. "Exposure to green areas: Modelling health benefits in a context of study heterogeneity," Ecological Economics, Elsevier, vol. 167(C).
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    More about this item

    Keywords

    Heckman model; statistical significance; delta method; nonparametric bootstrap; dispute severity;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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