The small sample performance of the Wald test in the sample selection model under the multicollinearity problem. (English) Zbl 1255.62041
Summary: We investigate the finite sample behaviour of the Wald test of a slope coefficient (\(t\)-ratio) in sample selection models following the maximum likelihood estimation, specifically under multicollinearity identified by K. Nawata [ibid. 42, No. 1, 15–24 (1993; Zbl 0800.62769)]. The evidence shows that the conventional Wald test can perform very poorly under the multicollinearity problem, but the proposed bootstrap method can control the size successfully.
MSC:
| 62F03 | Parametric hypothesis testing |
| 62F40 | Bootstrap, jackknife and other resampling methods |
| 62P20 | Applications of statistics to economics |
Citations:
Zbl 0800.62769References:
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