SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
复制标题
样本选择偏差检验的规模特征：蒙特卡罗比较和实证示例
DOI：
10.1081/etc-100104082
复制
发表时间：
2001
影响因子：
1.2
通讯作者：
M. McAleer
中科院分区：
文献类型：
--
作者：
K. Nawata;M. McAleer
个体系数的t检验在定性选择模型中有着广泛的应用。然而，众所周知，当样本量较小时，t检验会产生误导性的结果。本文通过比较t检验与似然比检验和拉格朗日乘子检验的渐近等价性，为有样本选择偏差模型中t检验的有限样本性质提供了一些实验证据。T检验的有限样本问题是令人担忧的，而且比二元选择模型等模型要严重得多。文中还给出了一个实证例子，以突出计算检验统计量之间的差异。
The t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This paper provides some experimental evidence on the finite sample properties of the t-test in models with sample selection biases, through a comparison of the t-test with the likelihood ratio and Lagrange multiplier tests, which are asymptotically equivalent to the squared t-test. The finite sample problems with the t-test are shown to be alarming, and much more serious than in models such as binary choice models. An empirical example is also presented to highlight the differences in the calculated test statistics.