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


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 
> > > 
> > > *
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> > > 
> > 
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> > 
> 
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