Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103637
Authors: 
Pfaffermayr, Michael
Year of Publication: 
2014
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 4 [Pages:] 151-168
Abstract: 
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.
Subjects: 
sample selection model
GMM
normality
pseudo-score LM test
JEL: 
C23
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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