Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062704 | Economics Letters | 2006 | 7 Pages |
Abstract
This paper investigates the finite sample behaviour of the Wald test of a slope coefficient (t-ratio) in sample selection models following the maximum likelihood estimation, specifically under multicollinearity identified by Nawata [Nawata, K., 1993. A note on the estimation of models with sample-selection biases. Economics Letters 42, 15-24]. The evidence shows that the conventional Wald test can perform very poorly under the multicollinearity problem, but the proposed bootstrap method can control the size successfully.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Takashi Yamagata,