Testing for Sample Selection Bias

1 January 1982

journal article
Published by Oxford University Press (OUP) in The Review of Economic Studies

Vol. 49 (1) , 151-153
https://doi.org/10.2307/2297148

Abstract

A simple regression test of the null hypothesis of no sample selection bias has been suggested by J. J. Heckman. Because of its computational simplicity, this test is widely used by applied researchers. This paper shows that Heckman's test is equivalent to the Lagrange multiplier test of the null hypothesis. This allows us to readily deduce that the simple regression test also has desirable large sample properties.

Keywords

LAGRANGE
SELECTION BIAS
SIMPLICITY
SAMPLE SELECTION
READILY
DEDUCE
SIMPLE REGRESSION TEST

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