Artikel
A GMM-based test for normal disturbances of the Heckman sample selection model
The Heckman sample selection model relies on the assumption of normal and homoskedastic disturbances. However, before considering more general, alternative semiparametric models that do not need the normality assumption, it seems useful to test this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on whether the third and fourth moments of the disturbances of the outcome equation of the Heckman model conform to those implied by the truncated normal distribution. The test is easy to calculate and in Monte Carlo simulations it shows good performance for sample sizes of 1000 or larger.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 2 ; Year: 2014 ; Issue: 4 ; Pages: 151-168 ; Basel: MDPI
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
- Subject
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sample selection model
GMM
normality
pseudo-score LM test
- Event
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Geistige Schöpfung
- (who)
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Pfaffermayr, Michael
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2014
- DOI
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doi:10.3390/econometrics2040151
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Pfaffermayr, Michael
- MDPI
Time of origin
- 2014
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Finite sample inference for GMM estimators in linear panel data models
Further results on the limiting distribution of GMM sample moment conditions
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Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model
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Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note
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A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model
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