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Re: st: sample selection bias: rho and wald test
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: sample selection bias: rho and wald test
Date
Mon, 7 Jun 2010 08:43:26 -0700 (PDT)
--- On Mon, 7/6/10, [email protected] wrote:
> I have a doubt related to the heckprob command. The estimated
> coefficient for rho is not statistically significant from 0,
> which I think suggests that there is not a selection bias.
I guess that this statement refers to the Wald test (the test
that is reported after each coefficient).
> However, the wald test reports that I should reject
> the null hypothesis that the equations are independent.
I guess here you mean Likelihood ratio test, The test reported
in the line labeled: "LR test of indep. eqns. (rho = 0):".
Asymptotically the two should be the same, but in finite
samples the two are different. Often people prefer the
likelihood ratio test over the Wald test.
> The obtained rho lies outside the -1, +1 range.
I guess that you mean the obtained /athrho, and not the
rho. Rho will always be within the -1 to 1 range, /athrho,
the Fisher's z transformation of rho, can be with the
-infinity to +infinity range.
-- Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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