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st: RE: no convergence after tsset


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: no convergence after tsset
Date   Mon, 9 Oct 2006 14:26:37 +0200

Laura:
You seem to be using the same variables in the selection 
equation as in the wage equation. In that case 
identification is solely based on the non-linear effect 
of the variables on the probability of being selected. 
However if most respondents have a probability of being 
selected somewhere between 20 and 80%, than this effect 
is approximately linear, so identification breaks down 
and weird things like this can happen. Something similar 
came up earlier today, see: 
http://www.stata.com/statalist/archive/2006-10/msg00285.html
HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

--- Laura Seelkopf wrote:
> I am having a problem with a heckman selection model for panel data. First
> stata 9 estimated it without problems after 34 iterations
>
>        heckman y x x x, select (y=x x x)
>
> but then I needed to
>
>         tsset
> 
> my data in order to create a lagged variable. After this, the same heckman
> command as above did not work out anymore
>
>        (no convergence achieved).
>
> I am wondering now, why this is the case and if/how it influences my
> estimation of the heckman model, because after I typed
>
>        sort year
>
> the model could again be estimated.

 

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