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st: covariance of error terms in heckman selection model


From   Jelena Zurovac <jzurovac@u.washington.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: covariance of error terms in heckman selection model
Date   Wed, 18 Jan 2006 19:34:43 -0800 (PST)

Hi, I would greatly appreciate any input on my question.

Consider a simple selection model: 

Q = aX + e1
M* = bx + cz + e2

It is estimated in Stata using the 'heckman' command.  The parameters that are 
estimated are: 

sigma=st.deviation(e1) 
rho=corr(e1,e2)
and 
lambda=rho*sigma.

I am interested in the cov(e1,e2), which can be computed only if we have the 
standard deviation of e2. Stata does not report it and it isn't saved in e().  Is there a good way around it?
 
Thank you very much,

Jelena Zurovac
Graduate Student
University of Washington, Seattle





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