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st: Interpretation of OLS coeff after Heckman selection


From   Christer.Thrane@hil.no
To   statalist@hsphsun2.harvard.edu
Subject   st: Interpretation of OLS coeff after Heckman selection
Date   Fri, 29 Aug 2003 12:05:29 +0200

Hi everyone,

My dependent variable, Y, is the log of expenditures and a set of dummies
(X1, X2, ...) are the explanatory variables of main concern. I also have a
bunch of controls.

Since sample selection is a problem, I use the Heckman command. (Tobit does
not work with these data.)

Recently someone pointed out to me the following: One cannot interpret the
OLS coefficients for X1, X2, ... in the consumption equation the usual way
(here: as semilogarithmic coefficients that need the adjustment suggested
by Halvorsen and Palmquist [1980]) WHEN X1, X2, ... also are included as
explanatory variables in the (probit) selection equation (which they are in
my case). In this case, the OLS coefficients in the consumption needs to be
adjusted according to som kind of formula....

Is this true? If yes, has anyone seen such a formula? Finally, has anyone
written a command or a ado/do file to perform this adjustment in Stata?

Thanks for any help!

Christer

Christer Thrane, dr.polit.
Associate Professor, Sociology
Department of Social Science
Lillehammer University College
2626 Lillehammer, Norway
+ 47 61 28 81 70 (fax)
+ 47 61 28 82 47 (phone, work)
+ 47 61 25 68 44 (phone, home)
+ 47 92 29 54 39 (mobile)
E-mail, work: Christer.Thrane@hil.no
E-mail, home: Christer.Thrane@c2i.net



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