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RE. st: how to explain Rho in heckprob
The change in sign & significance of rho may be due to better specification
of your model(s) OR to collinearity. See references below, especially
Stolzenberg. Also, scholars in sociology don't agree 100% on how to
interpret rho. Some say it is meaningful and can be interpreted as the
*effect* of the tendency to be in the sample on the outcome, but others
disagree and insist that rho is simply accounting for a spurious association
between error terms due to unmeasured factors. Good luck.
Useful references in sociology:
Berk, Richard A. 1983. "An Introduction to Sample Selection Bias in
Sociological Data." American Sociological Review 48: 386-98.
Berk, Richard A., and Subhash C. Ray. 1982. "Selection Biases in
Sociological Data." Social Science Research 11:352-98.
Breen, Richard. 1996. Regression Models: Censored, Sample Selected, or
Truncated Data. Sage University Paper series on Quantitative Applications in
the Social Sciences, 07-111. Beverly Hills, CA: Sage.
Mirowsky, John, and John Reynolds. 2000. "Age, Depression, and Attrition in
the National Survey of Families and Households." Sociological Methods and
Stolzenberg, Ross M., and Daniel A. Relles. 1990. "Theory Testing in a World
of Constrained Research Design: The Significance of Heckman's Censored
Sampling Bias Correction for Nonexperimental Research." Sociological Methods
and Research 18: 395-415.
Stolzenberg, Ross M., and Daniel A. Relles. 1997. "Tools for Intuition about
Sample Selection Bias and Its Correction." American Sociological Review
Winship, Christopher, and Robert D. Mare. 1992. "Models for Sample Selection
Bias." Annual Review of Sociology 18: 327-50.
>I am using Stata's heckprob to estimate a heckit probit model. However, it
>seems there is little available out there re explaining Rho, for example,
>what's the meaning of Rho being positive or negative. I estimate four
>heckprob models, and as I add more variables in, the sign of Rho changes,
>and its significance level varies too. Any input?
John Reynolds, PhD
Department of Sociology
Florida State University
Tallahassee, FL 32306-2270
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