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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: RWI Discussion Papers ; No. 39

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; Hypothesis Testing: General
• Subject: Heckman model ; statistical significance ; delta method ; nonparametric bootstrap ; dispute severity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Vance, Colin
• Event: Veröffentlichung
• (who): Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
• (where): Essen
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/18590
• Last update: 10.03.2025, 11:43 AM CET