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Title:Marginal effects and significance testing with Heckman's sample selection model: a methodological note PDF Logo
Authors:Vance, Colin
Issue Date:2006
Series/Report no.:RWI Discussion Papers 39
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.
Subjects:Heckman model
statistical significance
delta method
nonparametric bootstrap
dispute severity
JEL:C34
C12
Document Type:Working Paper
Appears in Collections:RWI Discussion Papers
Publikationen von Forscherinnen und Forschern des RWI

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