Size characteristics of tests for sample selection bias: A monte carlo comparison and empirical example

Econometric Reviews

Volumn 20, Issue 1, 2001, Pages 105-112

  Nawata, Kazumitsu ^a   McAleer, Michael ^b  

^a UNIVERSITY OF TOKYO   (Japan)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

JEL Classification: C12, C24; Sample selection bias; t test; Wald test

Indexed keywords

EID: 29244445451     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1081/ETC-100104082     Document Type: Article

References (17)

1. Amemiya, T., 1985. Advanced Econometrics Cambridge, MA: Harvard University Press.
2. Breusch, T. S., and Schmidt, P., 1988. Alternative Forms of the Wald Test: How Long is a Piece of String?. Communications in Statistics–Theory and Methods, 17: 2789–2795.
3. Dagenais, M. G., and Dufour, J. M., 1991. Invariance, Nonlinear Models, and Asymptotic Tests. Econometrica, 59: 1601–1615.
4. Griffiths, W. E., Hill, R. C., and Pope, P. J., 1987. Small Sample Properties of Probit Model Estimators. J. Am. Stat. Assoc., 82: 929–937.
5. Heckman, J., 1976. The Common Structure of Statistical Models of Truncation, Sample Selection Bias and Limited Dependent Variables and a Simple Estimator for Such Models. Annals of Economic and Social Measurement, 5: 475–492.
6. 1979. Sample Selection Bias as a Specification Error. Econometrica, 47: 153–161.
7. Mroz, T. A., 1987. The Sensitivity of an Empirical Model of Married Woman's Hours of Work to Econometric and Statistical Assumptions. Econometrica, 55: 765–799.
8. Nawata, K., 1993. A Note on Estimation of Models with Sample Selection Biases. Economics Letters, 42: 15–24.
9. 1994. Estimation of the Sample-Selection Biases Models by the Maximum Likelihood, Estimator and Heckman's Two-Step Estimator in Models with Sample-Selection Biases. Economics Letters, 45: 33–40.
10. 1995. Estimation of Sample-Selection Models by the Maximum Likelihood Method. Mathematics and Computers in Simulation, 39: 299–303.
11. Nawata, K., and Nagase, N., 1996. Estimation of Sample Selection Bias Models. Econometric Reviews, 15: 387–400.
12. Newey, W. K., Powell, J. L., and Walker, J., 1990. Semiparametric Estimation of Selection Models: Some Empirical Results. American Economic Review, 80: 324–328.
13. Nelson, F. D., 1984. Efficiency of the Two-Step Estimator for Models with Endogenous Sample Selection. Journal of Econometrics, 24: 181–196.
14. Olsen, R. J., 1982. Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator. International Economic Review, 23: 223–240.
15. Orme, C. D., 1990. The Small Sample Performance of the Information Matrix Test. Journal of Econometrics, 46: 309–331.
16. Paarsch, H. J., 1984. A Monte Carlo Comparison of Estimators for Censored Regression Models. Journal of Econometrics, 24: 197–213.
17. Wales, T. J., and Woodland, A. D., 1980. Sample Selectivity and the Estimation of Labor Supply Functions. International Economic Review, 21: 437–468.