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st: RE: Heckman with covariates that perfectly predict selection


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Heckman with covariates that perfectly predict selection
Date   Wed, 18 Dec 2002 17:30:30 -0000

K Ssdjk
>
> I am running a heckman selection model (stata7, two-step estimation)
> and have some RHS vars which perfectly predict censoring.
> While I get
> estimates, the parameter on the perfect predictor seems to be the
> opposite sign from what I would expect. For example I have an
> indicator (Dmil) which is a perfect predictor: when Dmil=1 the
> dependent variable is always observed. However the estimated
> selection effect is negative,
>
> ...
> select
>    Dmil   -48.28     .
> ...
>
> I understand the large value but why not positive? The rest of the
> estimates are plausible and rho=-0.15. Any help/suggestions would be
> appreciated!
>
> PS There might be a write-up in STB-43 about this but I could not
> find it.

Commenting on the PS only: it doesn't seem that
anything in STB-43 bears on this question.

Nick
n.j.cox@durham.ac.uk

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