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 0165-1765Full text not available from this repository.
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.
|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|
|Publisher:||Elsevier Science B.V.|
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