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st: Re: Model specification for the Heckman 'twostep' model


From   "R.E. De Hoyos" <redeho@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Model specification for the Heckman 'twostep' model
Date   Wed, 25 May 2005 10:32:34 +0300

Yang,

If you are concerned about heterosckedasticity you can use the -ro- option within the full maximum likelihood estimates. However if you are interested in the -two-step- option the you can try performing the two-steps your self by generating the inverse mills ratio:

heckman depvar indvar, select(select) two m(mymills)

This will generate the non-selection hazard -mymills-, use this as a regressor in -reg-

reg depvar indvar mymills

You will be able to use all diagnostics after the second step equation.

I hope this helps,

Rafa
________________________
R.E. De Hoyos
Faculty of Economics
University of Cambridge
CB3 9DE, UK
www.econ.cam.ac.uk/phd/red29/

----- Original Message ----- From: "Yang Li" <Yang.Li-4@uts.edu.au>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 25, 2005 6:32 AM
Subject: st: Model specification for the Heckman 'twostep' model



Dear Statalist,

Our research has applied the Heckman self-selection model with the twostep option. We have a crucial requirement to check our model specifications. However, with the current build-in commends in STATA such as hettest, whitetst, rvfplot, ovtest, linktst etc, we are unable to approaching the regular checking on homoscedasticity, normality of residuals, non-linearity and model specifications.
We are appreciated if you could provide any suggestions on STATA commends can help us to cover this requirement as a necessary for our research. Or possibly, are there any ad hoc model specifications requires to be checked in relation to the robustness of our heckman estimation?

Best Regards,

Yang Li

Academic Staff and PhD Student
School of Accounting
University of Technology, Sydney

UTS +61 2 95143684, fax +61 2 95143669

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