I was wondering if any of you know if there is a code
available in STATA to estimate a fixed effects selection
model with panel data? Ideally I will like to estimate a
model similar to a Heckman two steps estimator but using
panel data. I know that Kyriazidou (1997) developed a model
like this in Econometrica and she has a code in Gauss and I
have heard that there is something similar available in
Limdep 8 but I will like to know if there is something
similar for STATA.
I have seen in the statalist that some people have suggested
for a similar problem to use heckman, cluster
but I am not sure if that solution is really consistent. In
particular I think it will not solve the problem of
unobserved heterogeneity at the individual level that is
solved using fixed effects, it will change the standard
errors but the coefficients might still be inconsistent. I
have also seen some suggestions to use GLLAMM for this, I
have to admit that I am not familiar with GLLAMM but again I
am not sure if such procedure is consistent with econometric
theory and if it is really suitable to what I want to do.
Any suggestions are appreciated.
Thanks,
Alejandro
Alejandro Lopez-Feldman
Ph.D. Candidate
UC DAVIS
Agricultural and Resource Economics
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