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

Colin Vance

No 39, RWI Discussion Papers from RWI - Leibniz-Institut für Wirtschaftsforschung

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 bootstrap; dispute severity (search for similar items in EconPapers)
JEL-codes: C34 C12 (search for similar items in EconPapers)
Date: 2006
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