  We present a detailed study of the heating effects in dielectric measurements
carried out on a liquid. Such effects come from the dissipation of the electric
power in the liquid and give a contribution to the nonlinear third harmonics
susceptibility chi_3 which depends on the frequency and temperature. This study
is used to evaluate a possible `spurious' contribution to the recently measured
nonlinear susceptibility of an archetypical glassforming liquid (Glycerol).
Those measurements have been shown to give a direct evaluation of the number of
dynamically correlated molecules temperature dependence close to the glass
transition temperature T_g~190K (Crauste-Thibierge et al., Phys. Rev. Lett
104,165703(2010)). We show that the heating contribution is totally negligible
(i) below 204K at any frequency; (ii) for any temperature at the frequency
where the third harmonics response chi_3 is maximum. Besides, this heating
contribution does not scale as a function of f/f_{\alpha}, with f_{\alpha}(T)
the relaxation frequency of the liquid. In the high frequency range, when
f/f_{\alpha} >= 1, we find that the heating contribution is damped because the
dipoles cannot follow instantaneously the temperature modulation due to the
heating phenomenon. An estimate of the magnitude of this damping is given.
