On Testing Sample Selection Bias under the Multicollinearity Problem
This paper examines and compares the finite sample performance of the existing tests for sample selection bias, especially under the multi-collinearity problem pointed out by Nawata (1993). The results show that under such multicollinearity problem, (i) the t-test for sample selection bias based on the Heckman and Greene variance estimator can be unreliable; (ii) the standard t-test (Heckman 1979) and the asymptotically efficient Lagrange multiplier test (Melino 1982) have correct size but very little power; (iii) however, the likelihood ratio test following the maximum likelihood estimation remains powerful.
References listed on IDEAS
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- Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
- Angelo Melino, 1982. "Testing for Sample Selection Bias," Review of Economic Studies, Oxford University Press, vol. 49(1), pages 151-153.
- Nawata, Kazumitsu, 1995. "Estimation of sample-selection models by the maximum likelihood method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 299-303.
- Olsen, Randall J, 1980. "A Least Squares Correction for Selectivity Bias," Econometrica, Econometric Society, vol. 48(7), pages 1815-1820, November.
- Heckman, James, 2013.
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- Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-161, January.
- Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-799, July.
- Thomas Mroz, "undated". "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," University of Chicago - Population Research Center 84-8, Chicago - Population Research Center.
- Leung, Siu Fai & Yu, Shihti, 1996. "On the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 197-229.
- Leung, S.F. & Yu, S., 1992. "On the Choice Between Sample Selection and Two-Part Models," RCER Working Papers 337, University of Rochester - Center for Economic Research (RCER).
- Nawata, Kazumitsu, 1994. "Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator," Economics Letters, Elsevier, vol. 45(1), pages 33-40, May.
- Olsen, Randall J, 1982. "Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(1), pages 223-240, February.
- Greene, William H, 1981. "Sample Selection Bias as a Specification Error: Comment," Econometrica, Econometric Society, vol. 49(3), pages 795-798, May.
- Nawata, Kazumitsu, 1993. "A note on the estimation of models with sample-selection biases," Economics Letters, Elsevier, vol. 42(1), pages 15-24.
- Kazumitsu Nawata & Michael McAleer, 2001. "Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 105-112.
- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May. Full references (including those not matched with items on IDEAS)
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