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Re: st: 3sls, selection


From   Chris Rohlfs <car@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 3sls, selection
Date   Mon, 8 Sep 2003 15:36:58 -0500 (CDT)

jacob,

could you please describe the variables you're looking at ?

chris

On Mon, 8 Sep 2003, joe jacob wrote:

> Dear all,
> 
> This is my first mail to statalist and this mail is made after days of 
> learning from the discussions in the listserver.
> 
> I have a two-equation system to estimate.
> 
> Eq. (1)  y1 = y2 + x1 + x2 +x3+x4+  u
> Eq. (2)  y2 = y1 + x1 + x2+v,
> 
> with the endogenous variables y1 and y2 (both continuous) appearing in the 
> RHS of both equations. Thus a simultaneous equation is of course the right 
> way to proceed.
> 
> But variable y1 needs to be corrected for the Selection hazard using the 
> Heckman procedure. This is because some observations are zero due to 'self 
> selection'. Thus we have a selection equation involving the variables (y2, 
> x1, x2 ,x3,x4,x5).
> 
> One approach I could think of is to calculate the IMR from heckman 
> estimation of equation 1, plugging it back in the same equation and running 
> a 3sls estimation involving equations 1 and 2. BUT I think that does not 
> make much sense because IMR is calculated from two equations (Eqn 1 and the 
> selection equation) that has an endogenous explanatory variable (y2).
> 
> My question is how could I take care of these two problems. 1. The 
> endogeneity (simultaneity) of y1 and y2 , 2.the selection bias pertaining to 
> variable y1.
> 
> Thanks in advance for your kind suggestions.
> 
> Sincerely,
> 
> Itty Jacob
> 
> PS: My apologies for any wrong terminology.
> 
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