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st: Sign of Lambda in heckman


From   "Sascha Steffen" <[email protected]>
To   <[email protected]>
Subject   st: Sign of Lambda in heckman
Date   Mon, 1 Mar 2010 14:26:34 +0100

Dear All,

I was wondering about an economic interpretation of the sign of the lambda
in a heckman selection model. For example, I am interested in factors
reducing default rates of firms. I only observe the performance of the loan
once the loan is approved. I use a selection model to account for this. My
lambda from the heckman model turns out to be significant and negative. What
is the interpretation? In what direction is the bias? Can I interpret the
negative sign, that information has been used to screen and filter out bad
applicants? What do you think?

Best wishes,
Sascha

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