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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 > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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