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st: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)


From   "de la Garza, Adrian" <ADelagarza@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)
Date   Tue, 18 May 2004 14:24:10 -0400

Since neither I nor anybody else have found an answer to my problem,
here is another rather technical question:

In which cases would I prefer to use the Heckman model without the
twostep option and in which cases would I rather run it with the twostep
option?

Thank you, all.

Adrian

> -----Original Message-----
> From: de la Garza, Adrian 
> Sent: Tuesday, May 18, 2004 11:38 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Things to consider when regressions don't converge
> 
> 
> Jean, thanks a lot. But perhaps I should have explained myself better.
> It is my -R- that I want, that is, the number of bonds issued by a
> particular borrower SO FAR at each different point in time. Your -R-
> would give me the FINAL total of bonds that a particular 
> borrowed issue
> throughout the whole sample and that number would be repeated for each
> observation within the same borrower. This is not what I want.
> 
> And yes, I tried the twostep option and it does run my regression more
> smoothly but I am not sure why it doesn't work without the twostep
> option.
> 
> Thank you.
> Adrian
> 
> > -----Original Message-----
> > From: jean ries [mailto:ries@ires.ucl.ac.be] 
> > Sent: Tuesday, May 18, 2004 11:26 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: Things to consider when regressions don't converge
> > 
> > 
> > At 16:29 18/05/2004, you wrote:
> > >I am running a Heckman selection model (shown below) and after this
> > >non-converging story I started playing around with my equation and
> > >noticed that my -lR- variable might be the one that's giving 
> > me trouble.
> > >-lR- is ln(R), and -R- is generated as follows:
> > >
> > >sort borrower indic signdate mtydate amount
> > >by borrower: g R = _n
> > >
> > >so -R- is the number of bonds issued by a particular 
> borrower at each
> > >different point in time.
> > 
> > I don't think that R represents what you expect it to 
> > represent. The way 
> > you define it, R contains the current observation number for 
> > each borrower. 
> > Try the following to obtain the number of bonds issued by a 
> > particular 
> > borrower :
> > 
> > bysort borrower: g R = _N
> > 
> > and:
> > 
> > help _variables
> > 
> > In any case, have a look at the Stata reference manual. It 
> > contains a nice 
> > discussion on problems related to Heckman selection models. 
> > As suggested 
> > there, you should try to fit your model using the two-step method.
> > 
> > Hope this helps,
> > 
> > jean 
> > 
> > *
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> > 
> 
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