SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
通过蒙特卡洛模拟比较t检验、似然比检验和拉格朗日乘子检验在样本选择偏差模型中的有限样本表现，发现t检验在小样本下问题严重，并用实证例子展示差异。
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.