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


From   Robert Duval <rduval@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Model specification for the Heckman 'twostep' model
Date   Wed, 25 May 2005 13:11:57 -0400

Rafa's suggestion should work, but an adjustment is needed to the
standard errors of all the coefficients in the second step regression.
This is because the IMR is a generated variable (with an associated
prediction error to it). To see the formulas needed to make such
adjutsments check for instance Wooldrige's book Ch. 6 or the Maddala
1983 textbook.

Best
Robert

On 5/25/05, R.E. De Hoyos <redeho@hotmail.com> wrote:
> 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
> >
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