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From |
David Greenberg <dg4@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Heckman or Heckman-twostep? (was: Things to considerwhen regressions don't converge) |

Date |
Tue, 18 May 2004 15:49:24 -0400 |

When the estimated rho is close to 1, the two-step procedure may handle the estimation better. Otherwise, I think it is now considered preferable not to use it. David Greenberg, Sociology Department, New York University ----- Original Message ----- From: "de la Garza, Adrian" <ADelagarza@imf.org> Date: Tuesday, May 18, 2004 2:24 pm Subject: st: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge) > 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 > twostepoption? > > 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 [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/ > * * 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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