Next Article in Journal
Success at the Summer Olympics: How Much Do Economic Factors Explain?
Previous Article in Journal
Asymmetry and Leverage in Conditional Volatility Models
Open AccessArticle

A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model

1
Department of Economics, University of Innsbruck, Universitaetsstrasse 15, Innsbruck 6020, Austria
2
Austrian Institute of Economic Research, P.O.-Box 91, Vienna A-1103, Austria 
Econometrics 2014, 2(4), 151-168; https://doi.org/10.3390/econometrics2040151
Received: 31 July 2014 / Revised: 10 October 2014 / Accepted: 14 October 2014 / Published: 23 October 2014
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. View Full-Text
Keywords: sample selection model; GMM; normality; pseudo-score LM test sample selection model; GMM; normality; pseudo-score LM test
Show Figures

Figure 1

MDPI and ACS Style

Pfaffermayr, M. A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model. Econometrics 2014, 2, 151-168.

Show more citation formats Show less citations formats

Article Access Map by Country/Region

1
Only visits after 24 November 2015 are recorded.
Back to TopTop