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st: heckprob questions

From   "Jun Xu" <>
Subject   st: heckprob questions
Date   Wed, 12 Nov 2003 15:48:56 -0600

Again, related to the heckprob (Heckman probit selection) command,

1. How to test if I have omitted variables issue in the heckprob model, especially when I don't have any information about those omitted variables? Or, put it more properly, I have a bunch of variables thrown into my heckprob equation, however, I am not sure if I omitted any, even worse, the variables that I have are the only ones, and I just want to show that the variables that I have suffice and I don't have omitted variable problem.

2. Question Two is about some common criticism of Heckman model that it is sensitive to model specifications. It seems to me hard to conduct Hausman test of the heckprob model as I am not sure what kind of model specification is a consistent and yet less efficient one. One solution is just to use Hausman test to test the selection equation (compare estimates from the heckprob and a single probit equation of the selection process) and then argue that since the estimates for the selection is consistent, we should expect the estimates in the main equation is also consistent? Also, what if Rho is significantly different from zero for models with more variabless, while not different from zero if I drop some of the variables (I saw a similar posting before, but didn't see any answers yet).

3. Again, how to get a scalar measure of the heckprob model (like R-square). I posted this question days ago. The real problem is that, for example, if I want to use McFadden's R2, what's the null model (the null model with two intercepts only for both the main and selection equations will not be estimated, or shoudl I use the null model when the selection process is fully specified, while only have an intercept for the main model?). Need clarification.

Thanks a lot.

Jun Xu
Department of Sociology
Indiana University

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