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Re: st: Re: Need help with Heckprob (rho)


From   Thomas Schmeling <tschmeling@ric.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Need help with Heckprob (rho)
Date   Fri, 1 Aug 2003 13:19:09 -0400

Scott,
I just wanted to say thanks for your help with the question I posted to the
stata list.
Tom



>----- Original Message -----
>From: Thomas Schmeling
>To: statalist@hsphsun2.harvard.edu
>Sent: Thursday, July 24, 2003 5:16 PM
>Subject: st: Need help with Heckprob (rho)
>
>
>Hello,
>
>I'm new to stata, new to this list, and at the limit of my training with
>regard
>to these techniques, but hope someone can lend a hand.
>
>I've run Heckprob and am having trouble interpreting the results, which I've
>pasted in below. The coefficients all look right, but RHO has me terribly
>puzzled. Can it actually be 1, or is this a symptom of a problem? Given
>the std.
>err. of Rho, how can the confidence interval be -1 to 1? I'll note that I
>had to
>use the "difficult" option, as this model generated a lot of "not concave"
>messages. Also, I have no idea how to interpret /athrho, and can't find a word
>of explanation in the documentation. Any pointers?
>Thanks,
>Tom Schmeling
>
>
>Tom,
>
>It is likely the symptom of a problem.  This very problem is discussed in the
>manual [R]heckman, page 71.
>
>Rho is bound between -1 and 1;  it is the correlation between the regression
>equation and the selection equation.
>
>Also, typing -findit heckman- brings up a number very good FAQ dealing various
>issues of the heckman model:
>
>FAQ     . . . . . . . . . . . . . . . . . .  Define constraints for parameters
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  W. Guan
>        11/01   How do I impose the restriction that rho is zero
>                using the heckman command with full ml?
>                http://www.stata.com/support/faqs/stat/constraints.html
>
>FAQ     . . . . . . . . . . . . . . . Endogeneity versus sample selection bias
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  D. Millimet
>        10/01   What is the difference between 'endogeneity' and
>                'sample selection bias'?
>                http://www.stata.com/support/faqs/stat/bias.html
>
>FAQ     . . . . . . . . . . . . . . Determining the sample for a Heckman model
>        . . . . . . . . . . . . . . . . . . . . . . .  V. Wiggins and W. Gould
>        3/01    Why are observations that are noninformative about
>                the dependent variable, but are known to be selected,
>                excluded by heckman from the estimation sample?
>                http://www.stata.com/support/faqs/stat/heckman.html
>
>FAQ     . Computation of rho in the two-step Heckman estimator. Technical FAQ.
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . V. Wiggins
>        3/00    How are estimates of rho outside the bounds [-1,1]
>                handled in the two-step Heckman estimator?
>                http://www.stata.com/support/faqs/stat/twosteprho.html
>
>FAQ     . Mills' ratios and censoring direction in the Heckman selection model
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . V. Wiggins
>        5/99    Why are there so many formulas for the inverse of
>                Mills' ratio?
>                What if I have censoring from above/below in my
>                Heckman selection model?
>                http://www.stata.com/support/faqs/stat/invmills.html
>
>
>Hope this helps,
>Scott
>
>
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