Influence diagnostics in the Heckman selection models based on EM algorithms.

Abstract

This study presents diagnostic techniques for Heckman selection models estimated using the EM algorithm. The focus is on the selection t and normal models, based on the bivariate Student's-t and bivariate normal distributions, respectively. The Heckman selection model is a key econometric tool for estimating relationships while addressing selection bias. Relying on the EM-type algorithm, we develop global and local influence analyses based on the conditional expectation of the complete-data log-likelihood function, exploring four perturbation schemes for local influence analysis. To assess the effectiveness of the proposed diagnostic measures in identifying influential observations, we conducted a simulation study, complemented by two real-data applications that demonstrate how these techniques can effectively identify influential points. The proposed algorithms and methodologies are incorporated into the R package HeckmanEM.