Marginal effects and significance testing with Heckman's sample selection model: a methodological note

Abstract

This article illustrates two techniques for calculating the statistical significance of the marginal effects derived from Heckman's sample selection model, an increasingly common econometric specification in economics and political science. The discussion draws on an analysis by Sweeney (2003) of the incidence and intensity of interstate disputes. After replicating his results, the article presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining SEs of the marginal effects, which themselves are calculated from a transformation of the model parameters. The analysis reveals two variables for which misleading inferences are drawn with respect to the precision of the estimated coefficients in the original study, suggesting that significance testing of the derived marginal effects is warranted.