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st: RE: 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: RE: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)
Date   Tue, 18 May 2004 16:10:44 -0400

Thank you, David.

My rho is far from 1, it is 0.18 if I run the model using the two-step
procedure. But if I run it without it, it doesn't converge! Two
questions:

1/ Is 0.18 "far" from 1, so that you would recommend that I don't use
Heckman's two-step procedure?

2/ Do you know why the method using the ML function would not converge?

I read somewhere that Heckman's two-step method yielded more efficient
estimators... so I was more inclined to use the two-step procedure until
you told me this. Do you know of a book or other source that might talk
about this (ML vs two-step)?

Thanks a lot.
Adrian


> -----Original Message-----
> From: David Greenberg [mailto:dg4@nyu.edu] 
> Sent: Tuesday, May 18, 2004 3:49 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: Heckman or Heckman-twostep? (was: Things to 
> consider when regressions don't converge)
> 
> 
> 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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