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

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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 languageEnglish
Pages (from-to)75-81
Number of pages6
JournalEconomics Letters
Issue number1
Publication statusPublished - Oct 2006

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