TY  -  JOUR 
TI  - Testing for sample selection bias in pseudo panels : Theory and Monte Carlo
PB  - Universidad Icesi
PY  - 2007
AB  - Sample selection bias is commonly used in economic models based on micro data.
Despite the continuous generalization of panel data surveys, most countries still collect microeconomic information on the behavior of economic agents by means of repeated independent and representative cross-sections. This paper discusses a simple testing procedure for sample
selection bias in pseudo panels. In the context of conditional mean independence panel data models
we describe a pseudo panel model in which under convenient expansion of the original specification
with a selectivity bias correction term the method allows us to use a Wald test of Ho:=p0 as a test of
the null hypothesis of absence of sample selection bias. We show that the proposed selection bias
correction term is proportional to Inverse Mills ratio with an argument equal to the “normit” of a
consistent estimation of the observed proportion of individuals in each cohort. This finding can be
considered a cohort counterpart of Heckman’s selectivity bias correction for the individual case and
generalizes to some extent previous existing results in the empirical labour literature. Monte Carlo
analysis shows the test does not reject the null for fixed T at a 5% significance level in finite samples
and increases its power when utilizing cohort size corrections as suggested by Deaton (1985). As a
“side effect” our method enables us to make a consistent estimation of the pseudo panel parameters
under rejection of the null.
KW  - FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
KW  - REPEATED CROSS-SECTION MODELS
KW  - PSEUDO PANELS
KW  - SELECTIVITY BIAS TESTING
KW  - MONTE CARLO METHODS
KW  - METODOS MONTECARLO
KW  - ANÁLISIS DISCRETO
KW  - PRUEBA DE SELECTIVIDAD DIAGONAL
KW  - MODELOS REPETITIVOS DE SECCIÓN TRANSVERSAL
KW  - Economía
KW  - Economics
KW  - Econometrics models
KW  - Econometria
UR  - http://hdl.handle.net/10906/65253
ER  -