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From |
"jyotsna puri" <pjyotsna@hotmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: RE: Panel data Heckman and FE Tobit |

Date |
Mon, 04 Apr 2005 17:28:29 +0000 |

Amrita and Alejandro,

Both of you are correct. I guess there should be a way to do Heckman

for Panel data and I had laid out a possible method, a while ago, but I have

not written such a program. I think I will need it so if you are keen,

I could exchange notes with you, once I am along some way.

These are the steps I had thought of:

1. Estimate the selection equation via xtprobit.

2. Get estimates of the Mills ratio.

3. Use the Mills Ratio as an explanatory variable in the response equation

where only the truncated dependent variable is considered, i.e. estimate

this equation for selection =1. This is estimated via xtreg, re with the Hausman

test to check for specification.

4. One would have to account for inter-equation correlation and bootstrap

the standard errors accordingly.

-Jyotsna

Jyotsna (Jo) Puri

pjyotsna@hotmail.com

Doctoral Candidate, Department of Agriculture and Resource Economics,

University of Maryland, College Park, MD

I ran the Marine Corp Marathon to help educate.

----Original Message Follows----

From: "Alejandro Lopez-Feldman" <alopezfeldman@ucdavis.edu>

Reply-To: statalist@hsphsun2.harvard.edu

To: statalist@hsphsun2.harvard.edu

Subject: st: RE: Panel data Heckman and FE Tobit

Date: Mon, 4 Apr 2005 09:47:18 -0700 (PDT)

Amrita,

I have asked the same question before and from what I have learned I can tell you that there is no command in Stata that can do Heckman with panel (except of course the pooled case). Cluster is not equivalent to fixed effects or random effects. And there are no user written commands either

I think you are right about tobit.

Alejandro

> ----- Original Message -----

> From: "Amrita Bhattacharyya" <bhattaam@bc.edu>

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

> Sent: Monday, April 04, 2005 9:22 AM

> Subject: st: Panel data Heckman and FE Tobit

>

>

> > Dear Statalisters,

> >

> > I will really appreciate if you could help me with the following:

> >

> > 1) Is there a STATA command to do Heckman model with Panel data? Is

> heckman,cluster proper to use in this case? If Heckman can be done with

> Panel data, is there a way to do iv?

> >

> > 2) Am I right to say that doing fixed effect in Tobit with Panel data

> is

> quite complicated (the only oprtion is programme written by Bo Honore)

> and

> there is no command to do tobit with iv and fixed effect?

> >

> > Thank you for your help in advance.

> >

> > Sincerely,

> > Amrita

> >

> > Fourth Year Doctoral Student

> > Department of Economics

> > Boston College

> > 21 Campanella Way--Room 462A

> > Chestnut Hill, MA 02467

> >

> > tel: +1-617-552-6742

> > fax: +1-617-552-2308

> > *

> > * 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/

>

>

-----------------------------------------

Alejandro Lopez-Feldman

Ph.D. Candidate

Agricultural and Resource Economics

University of California-Davis

*

* 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/

*

* 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/

**References**:**st: RE: Panel data Heckman and FE Tobit***From:*"Alejandro Lopez-Feldman" <alopezfeldman@ucdavis.edu>

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