The small sample performance of the Wald test in the sample selection model under the multicollinearity problem

T. Yamagata

doi:10.1016/j.econlet.2006.03.049

The small sample performance of the Wald test in the sample selection model under the multicollinearity problem

T. Yamagata

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	75-81
Number of pages	6
Journal	Economics Letters
Volume	93
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2006.03.049
Publication status	Published - Oct 2006

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10.1016/j.econlet.2006.03.049

http://dx.doi.org/10.1016/j.econlet.2006.03.049

Cite this

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title = "The small sample performance of the Wald test in the sample selection model under the multicollinearity problem",

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.",

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