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Testing for Sample Selection Bias

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  • Angelo Melino

Abstract

A simple regression test of the null hypothesis of no sample selection bias has been suggested by J. J. Heckman. Because of its computational simplicity, this test is widely used by applied researchers. This paper shows that Heckman's test is equivalent to the Lagrange multiplier test of the null hypothesis. This allows us to readily deduce that the simple regression test also has desirable large sample properties.

Suggested Citation

  • Angelo Melino, 1982. "Testing for Sample Selection Bias," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(1), pages 151-153.
    • Handle: RePEc:oup:restud:v:49:y:1982:i:1:p:151-153.
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    File URL: http://hdl.handle.net/10.2307/2297148
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    Cited by:

    1. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
    2. Patrick Puhani, 2000. "The Heckman Correction for Sample Selection and Its Critique," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 53-68, February.
    3. Mervyn A. King & Louis Dicks-Mireaux, 1981. "Asset Holdings and the Life Cycle," NBER Working Papers 0614, National Bureau of Economic Research, Inc.
    4. Dovonon, Prosper & Gonçalves, Sílvia, 2017. "Bootstrapping the GMM overidentification test under first-order underidentification," Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
    5. Takashi Yamagata & Chris Orme, 2005. "On Testing Sample Selection Bias Under the Multicollinearity Problem," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 467-481.
    6. William Fonta & H. Ichoku & Jane Kabubo-Mariara, 2010. "The effect of protest zeros on estimates of willingness to pay in healthcare contingent valuation analysis," Applied Health Economics and Health Policy, Springer, vol. 8(4), pages 225-237, July.
    7. William Fonta & Hyacinth Ichoku & Kanayo Ogujiuba, 2010. "Estimating willingness to pay with the stochastic payment card design: further evidence from rural Cameroon," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 12(2), pages 179-193, April.
    8. Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.
    9. Mikhail Zhelonkin & Marc G. Genton & Elvezio Ronchetti, 2016. "Robust inference in sample selection models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 805-827, September.
    10. Joo, Joonhwi & LaLonde, Robert J., 2014. "Testing for Selection Bias," IZA Discussion Papers 8455, Institute of Labor Economics (IZA).
    11. Quattri, Maria A. & Ozanne, Adam & Wang, Xioabing & Hall, Alastair R., 2011. "On The Role Of The Brokerage Institution In The Development Of Ethiopian Agricultural Markets," 85th Annual Conference, April 18-20, 2011, Warwick University, Coventry, UK 108941, Agricultural Economics Society.
    12. Leung, Siu Fai & Yu, Shihti, 1996. "On the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 197-229.
    13. Wojciech Florkowski & Timothy Park, 2001. "Promotional programmes and consumer purchasing decisions: pecan demand models," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 763-770.
    14. Mora Rodriguez, Jhon James, 2013. "Introduccion a la teoría del consumidor [Introduction to Consumer Theory]," MPRA Paper 48129, University Library of Munich, Germany, revised 08 Jul 2013.
    15. Gad Allon & Sarang Deo & Wuqin Lin, 2013. "The Impact of Size and Occupancy of Hospital on the Extent of Ambulance Diversion: Theory and Evidence," Operations Research, INFORMS, vol. 61(3), pages 544-562, June.

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