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Marginal effects and significance testing with Heckman's sample selection model: a methodological note

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  • Colin Vance

Abstract

This article illustrates two techniques for calculating the statistical significance of the marginal effects derived from Heckman's sample selection model, an increasingly common econometric specification in economics and political science. The discussion draws on an analysis by Sweeney (2003) of the incidence and intensity of interstate disputes. After replicating his results, the article presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining SEs of the marginal effects, which themselves are calculated from a transformation of the model parameters. The analysis reveals two variables for which misleading inferences are drawn with respect to the precision of the estimated coefficients in the original study, suggesting that significance testing of the derived marginal effects is warranted.

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  • Colin Vance, 2009. "Marginal effects and significance testing with Heckman's sample selection model: a methodological note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1415-1419.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:14:p:1415-1419
    DOI: 10.1080/13504850701466049
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    9. Colin Vance & Jacqueline Geoghegan, 2004. "Modeling the Determinants of Semi-Subsistent and Commercial Land Uses in an Agricultural Frontier of Southern Mexico: A Switching Regression Approach," International Regional Science Review, , vol. 27(3), pages 326-347, July.
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    15. Colin Vance & Ralf Hedel, 2008. "On the Link Between Urban Form and Automobile Use: Evidence from German Survey Data," Land Economics, University of Wisconsin Press, vol. 84(1), pages 51-65.
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    More about this item

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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