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Testing the normality assumption in the sample selection model with an application to travel demand

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  • Klaauw, B. van der
  • Koning, R.H.

    (Groningen University)

Abstract

In this paper we introduce a test for the normality assumption in the sample selection model.The test is based on a generalization of a semi-nonparametric maximum likelihood method.In this estimation method,the distribution of the error erms is approximated by a Hermite series,with normality as a special case.Because all parameters of the model are estimated both under normality and in the more general specification,we can est for normality using the likeli- hood ratio approach.This est has reasonable power as is shown by a simulation study.Finally,we apply the generalized semi-nonparametric maximum likeli- hood estimation method and the normality est o a model of car ownership and car use.The assumption of normal distributed error erms is rejected and we provide estimates of the sample selection model that are consisten .

Suggested Citation

  • Klaauw, B. van der & Koning, R.H., 2000. "Testing the normality assumption in the sample selection model with an application to travel demand," Research Report 00F37, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  • Handle: RePEc:gro:rugsom:00f37
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    File URL: http://irs.ub.rug.nl/ppn/240570626
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    References listed on IDEAS

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    1. Phillips, Peter C B, 1983. "ERAs: A New Approach to Small Sample Theory," Econometrica, Econometric Society, vol. 51(5), pages 1505-1525, September.
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    Cited by:

    1. David Dreyer Lassen, 2005. "The Effect of Information on Voter Turnout: Evidence from a Natural Experiment," American Journal of Political Science, John Wiley & Sons, vol. 49(1), pages 103-118, January.
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    3. van den Berg, Gerard J. & van Vuuren, Aico, 2010. "The effect of search frictions on wages," Labour Economics, Elsevier, vol. 17(6), pages 875-885, December.
    4. Kostov, Philip & Patton, Myles & Moss, Joan E. & McErlean, Seamus, 2005. "Does Gibrat's Law Hold Amongst Dairy Farmers in Northern Ireland?," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24775, European Association of Agricultural Economists.
    5. David Greenaway & Richard Kneller & Xufei Zhang, 2012. "The effect of exchange rates on firm exports and the role of FDI," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(3), pages 425-447, September.
    6. Masuhara, Hiroaki, 2013. "Semiparametric duration analysis with an endogenous binary variable: An application to hospital stays," CIS Discussion paper series 597, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    7. Jean–Luc Arregle & Lucia Naldi & Mattias Nordqvist & Michael A. Hitt, 2012. "Internationalization of Family–Controlled Firms: A Study of the Effects of External Involvement in Governance," Entrepreneurship Theory and Practice, , vol. 36(6), pages 1115-1143, November.
    8. Hiroaki Masuhara, 2007. "Semi-nonparametric estimation of regression-based survival models," Economics Bulletin, AccessEcon, vol. 3(61), pages 1-12.
    9. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
    10. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
    11. Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    12. Lindeboom, Maarten & van Doorslaer, Eddy, 2004. "Cut-point shift and index shift in self-reported health," Journal of Health Economics, Elsevier, vol. 23(6), pages 1083-1099, November.
    13. van Hasselt, Martijn, 2011. "Bayesian inference in a sample selection model," Journal of Econometrics, Elsevier, vol. 165(2), pages 221-232.
    14. Picchio, Matteo & Mussida, Chiara, 2011. "Gender wage gap: A semi-parametric approach with sample selection correction," Labour Economics, Elsevier, vol. 18(5), pages 564-578, October.
    15. Michael Pfaffermayr, 2014. "A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model," Econometrics, MDPI, Open Access Journal, vol. 2(4), pages 1-18, October.
    16. Eun-Ju Lee & David Eastwood & Jinkook Lee, 2004. "A Sample Selection Model of Consumer Adoption of Computer Banking," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(3), pages 263-275, December.
    17. Maarten Goos & Anna Salomons, 2017. "Measuring teaching quality in higher education: assessing selection bias in course evaluations," Research in Higher Education, Springer;Association for Institutional Research, vol. 58(4), pages 341-364, June.
    18. Spiess, Martin & Kroh, Martin, 2010. "A Selection Model for Panel Data: The Prospects of Green Party Support," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 172-188.
    19. Mark Clatworthy & Gerald Makepeace & Michael Peel, 2009. "Selection bias and the Big Four premium: New evidence using Heckman and matching models," Accounting and Business Research, Taylor & Francis Journals, vol. 39(2), pages 139-166.
    20. Hiroaki Masuhara, 2008. "Semi-nonparametric count data estimation with an endogenous binary variable," Economics Bulletin, AccessEcon, vol. 3(42), pages 1-13.
    21. Lee Adkins & R. Carter Hill, 2007. "Bootstrap Inferences in Heteroscedastic Sample Selection Models: A Monte Carlo Investigation," Economics Working Paper Series 0710, Oklahoma State University, Department of Economics and Legal Studies in Business.
    22. David Greenaway & Richard Kneller & Xufei Zhang, 2008. "Exchange Rates, Exports and FDI: A Microeconometric Analysis," Discussion Papers 08/09, University of Nottingham, GEP.
    23. repec:ebl:ecbull:v:3:y:2007:i:61:p:1-12 is not listed on IDEAS

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