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st: RE : rho and wald test in heckman


From   "Naceur Khraief" <nkhraief@ecn.ulaval.ca>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE : rho and wald test in heckman
Date   Thu, 25 Nov 2004 15:24:04 -0500

There are a couple of things to notice. First, stata gave you estimates for two equations( The results of the selection equation are in the bottom and the results for the interest equation are on the top). Second, rho is the correlation between the errors in the two equations. stata gives you an estimate for rho, and tests that estimate. in your cas you can reject the null that rho=0, indeed you should be using a simple selection model on your data.

	-------- Message d'origine-------- 
	De: Katarina Lynch [mailto:ferkel999@hotmail.com] 
	Date: jeu. 2004-11-25 13:09 
	À: statalist@hsphsun2.harvard.edu 
	Cc: 
	Objet: st: rho and wald test in heckman
	
	

	In  Heckman ML estimation how do I decide if there is a selection bias? On
	the one hand, rho(the correlation between two equations) is non-zero, even
	close to .95. On on the other hand, the Wald test at the bottom of the table
	cannot reject the null hypothesis of independent equations. I have found a
	power point presentation about heckman in STATA which sais that rho not
	equal to zero is enough to infer that there is selection bias. If instead of
	ML I do twostep, the IMR is insignificant, although there is nonzero
	correlation between the outcome and selection equations. I am confused.
	Would anyone spare a time to answer this simple question?
	
	Thank you!
	
	Katharina
	
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