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Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note

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  • Vance, Colin

Abstract

This paper 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 political science. The discussion draws on an analysis by Sweeney (2003) of the incidence and intensity of interstate disputes. After replicating his results, the paper presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining standard errors 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.

Suggested Citation

  • Vance, Colin, 2006. "Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note," RWI Discussion Papers 39, RWI - Leibniz-Institut für Wirtschaftsforschung.
    • Handle: RePEc:zbw:rwidps:39
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    References listed on IDEAS

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    1. Papke, Leslie E. & Wooldridge, Jeffrey M., 2005. "A computational trick for delta-method standard errors," Economics Letters, Elsevier, vol. 86(3), pages 413-417, March.
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    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    7. Sigelman, Lee & Zeng, Langche, 1999. "Analyzing Censored and Sample-Selected Data with Tobit and Heckit Models," Political Analysis, Cambridge University Press, vol. 8(2), pages 167-182, December.
    8. Rodolfo Hoffmann & Ana Lucia Kassouf, 2005. "Deriving conditional and unconditional marginal effects in log earnings equations estimated by Heckman's procedure," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1303-1311.
    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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    Cited by:

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    3. Colin Vance & Ralf Hedel, 2006. "On the Link between Urban Form and Automobile Use - Evidence from German Survey Data," RWI Discussion Papers 0048, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.
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    5. Checherita-Westphal, Cristina & Rother, Philipp, 2012. "The impact of high government debt on economic growth and its channels: An empirical investigation for the euro area," European Economic Review, Elsevier, vol. 56(7), pages 1392-1405.
    6. Moumita Poddar & Tanmoyee Banerjee (Chatterjee) & Ajitava Raychaudhuri, 2019. "An economic analysis of the determinants of pattern of institutional borrowing in India," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 21(1), pages 54-92, June.
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    8. Goic, Marcel & Rojas, Andrea & Saavedra, Ignacio, 2021. "The Effectiveness of Triggered Email Marketing in Addressing Browse Abandonments," Journal of Interactive Marketing, Elsevier, vol. 55(C), pages 118-145.
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    10. Serge Atherwood & Corey S Sparks, 2019. "Early-career trajectories of young workers in the U.S. in the context of the 2008–09 recession: The effect of labor market entry timing," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-30, March.
    11. 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.
    12. Arbeláez, María Angélica & Parra Torrado, Mónica, 2011. "Innovation, R&D Investment and Productivity in Colombian Firms," IDB Publications (Working Papers) 3074, Inter-American Development Bank.
    13. Mate-Sanchez-Val, Mariluz & Harris, Richard, 2014. "Differential empirical innovation factors for Spain and the UK," Research Policy, Elsevier, vol. 43(2), pages 451-463.
    14. José Manuel López‐Fernández & Mariluz Maté‐Sánchez‐Val & Francisco Manuel Somohano‐Rodriguez, 2021. "The effect of micro‐territorial networks on industrial small and medium enterprises' innovation: A case study in the Spanish region of Cantabria," Papers in Regional Science, Wiley Blackwell, vol. 100(1), pages 51-77, February.
    15. Rhodes, Charles, 2012. "An Empirical Analysis of Socio-Demographic Stratification in Sweetened Carbonated Soft-Drink Purchasing," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124678, Agricultural and Applied Economics Association.
    16. Chiabai, Aline & Quiroga, Sonia & Martinez-Juarez, Pablo & Suárez, Cristina & García de Jalón, Silvestre & Taylor, Tim, 2020. "Exposure to green areas: Modelling health benefits in a context of study heterogeneity," Ecological Economics, Elsevier, vol. 167(C).
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    19. Juergen Jung & Jialu Liu Streeter, 2015. "Does health insurance decrease health expenditure risk in developing countries? The case of China," Southern Economic Journal, John Wiley & Sons, vol. 82(2), pages 361-384, October.

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    More about this item

    Keywords

    Heckman model; statistical significance; delta method; nonparametric bootstrap; dispute severity;
    All these keywords.

    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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