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

14 Pages Posted: 2 May 2006

See all articles by Colin Vance

Colin Vance

Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)

Date Written: April 2006

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.

Keywords: Heckman model, statistical significance, delta method, nonparametric

JEL Classification: C12, C34

Suggested Citation

Vance, Colin, Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note (April 2006). RWI Discussion Paper No. 39, Available at SSRN: https://ssrn.com/abstract=899092 or http://dx.doi.org/10.2139/ssrn.899092

Colin Vance (Contact Author)

Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) ( email )

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