White Rose University Consortium logo
University of Leeds logo University of Sheffield logo York University logo

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

Yamagata, T. (2006) The small sample performance of the Wald test in the sample selection model under the multicollinearity problem. Economics Letters, 93 (1). pp. 75-81. ISSN 0165-1765

Full text not available from this repository.

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.

Item Type: Article
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 08 Jul 2009 15:58
Last Modified: 08 Jul 2009 15:58
Published Version: http://dx.doi.org/10.1016/j.econlet.2006.03.049
Status: Published
Publisher: Elsevier Science B.V.
Identification Number: 10.1016/j.econlet.2006.03.049
URI: http://eprints.whiterose.ac.uk/id/eprint/6002

Actions (repository staff only: login required)