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st: Heckman on panels
Hello again everyone! No reply yet on my question I posted yesterday, I
just need to know whether its because (i) There is a technical error
somewhere, and the question never reaches you? (ii) Nobody knows the answer
or (ii) the question is so "stupid" that nobody bothers to answer. Anyway,
I try again:
I got a panel data set of some small scale farmers in developing
countries. Some sell volume X at individual price P, some don't sell at
all. The control variables vector Z for all farmers is available.
Heckmans method controls for self selection by (i) estimating a probit for
sell / no sell (ii) introducing the resulting Mills ratio in the sales
equation before running a normal OLS (on the households that do sell their
I got information from two years, so I wonder whether there exist some
kind of Stata procedure to correct for estimated individual effects
(either fixed or random).
The Stata command "xtprobit" does exactly this for a isolated first step, so
(1) How do I introduce xtprobit in the first stage of the Heckman in order
to correct for individual (unobserved) differences in choosing to sell or not?
(2) How do I introduce individual differences the sales function (second
step) of the Heckman model (i.e. also individual unobserved differences in
sales volume for the farmers who do sell)?
Anyone out there who knows how to solve this? I would most appreciate your
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