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 |
|---|---|
| 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 |
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