[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Julian Fennema" <j.a.fennema@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE : rho and wald test in heckman |

Date |
Fri, 26 Nov 2004 11:35:07 -0000 |

Dear Katarina, The problem with the Wald test in ML estimation is that the negative Hessian is used to compute the variance-covariance matrix. If the parameter estimates are close to the population parameters this is fine, but the smaller the sample size the less likely this is to be the case. Therefore, if possible, it is best to try a LR test (see, for example, "ML estimation with Stata", p. 5-6). The LR test of no selection process in a Heckman can be obtained if you estimate a Tobit on the structural equation, but this is not only one restriction of rho=0 as is commonly asserted. It is actually more complicated; the degrees of freedom is equal to the number of regressors in the structural or threshold equations (the largest) plus one (rho). As a statement this is confusing and I would suggest having a read of Johnston and DiNardo, "Econometric Methods", 1997, p. 451 to decipher what I have attempted to say. Hope this helps, Julian _____ From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Naceur Khraief Sent: 25 November 2004 20:24 To: statalist@hsphsun2.harvard.edu Subject: st: RE : rho and wald test in heckman 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 _________________________________________________________________ Immer für Sie da. MSN Hotmail. http://www.msn.de/email/webbased/ Jetzt kostenlos anmelden und überall erreichbar sein! * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

`<<attachment: winmail.dat>>`

**Follow-Ups**:**st: saving newly created variables***From:*Rashid Memon <r_s_memon@yahoo.co.uk>

**References**:**st: RE : rho and wald test in heckman***From:*"Naceur Khraief" <nkhraief@ecn.ulaval.ca>

- Prev by Date:
**st: RE: Survival Analysis Issue** - Next by Date:
**st: Checking reliability of a measurement device** - Previous by thread:
**st: RE : rho and wald test in heckman** - Next by thread:
**st: saving newly created variables** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |