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st: Problem-Estimation results-Heckman's twostep vs. maximum likelihood


From   Zhou Yu <zyu@usc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problem-Estimation results-Heckman's twostep vs. maximum likelihood
Date   Wed, 13 Nov 2002 23:06:53 -0800

Hi there,

I am a novice Stata user. I have problem with estimation results.

The twp-step and maximum likelihood estimations gave me two very different results. The results of the twostep is more reasonable to me, as the coefficients are expected. However, I was told that the ML is more efficient. The last iteration of the ML was concave.

After taking off some independent variables, the two procedures would produce similar results.

What is the problem? How to make the two estimations consistent?

Many thanks,

Zhou


Two-step:
-------------+----------------------------------------------------------------
mills |
lambda | -.051415 .0295235 -1.74 0.082 -.10928 .00645
-------------+----------------------------------------------------------------
rho | -0.08543
sigma | .60181893
lambda | -.05141501 .0295235
------------------------------------------------------------------------------

ML:

-------------+----------------------------------------------------------------
/athrho | -1.391146 .0148953 -93.39 0.000 -1.420341 -1.361952
/lnsigma | -.264034 .0041028 -64.36 0.000 -.2720753 -.2559927
-------------+----------------------------------------------------------------
rho | -.8834229 .0032705 -.88967 -.8768451
sigma | .7679474 .0031507 .7617969 .7741476
lambda | -.6784223 .0049747 -.6881726 -.668672
------------------------------------------------------------------------------
LR test of indep. eqns. (rho = 0): chi2(1) = 2729.86 Prob > chi2 = 0.0000
------------------------------------------------------------------------------


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