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Re: st: Using 2 stage Heckmen Sample Selection with Lags in STATA


From   "Seema Bhatia" <ler02sb@reading.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Using 2 stage Heckmen Sample Selection with Lags in STATA
Date   Wed, 1 Aug 2007 15:31:23 +0100

Hi there

Thanks for this response - but I am not sure how to carry on. Having done
the Hausman Test, I have to fit a random effects model to study bilateral
trade as a function of gdps, populations, distance, landlockedness,
contiguity, cultural similarities and membership of trade blocs amongst
other things.

My panel contains cross sectional data for 26 country pairs over 21 years. I
will be breaking this panel down into shorter time frames anyway (5 year
periods). However, I have a huge problem related to missing data on the LHS
(bilateral trade) and therefore need to model it. I was hoping that the
answer lies in using the Hechman Sample Selection model - the non random
pattern of the missing values could be modelled using the Heckman two stage
analysis.

Has anyone done this attempted this? I have seen this sample selection
method being used in recent economic literature quite a lot on panels. There
is also possible endogeneity issues within the model which is why lags
(first difference particularly) was something I am interested in looking at.
However, it is a much smaller problem as compared to my problem of missing
data and therefore I need to correct for the latter first.

I would be grateful for further guidance on the issue and would appreciate
any code out there to help me do this.

Seema



> Seema--
> As Stas indicated in a prior post
> (http://www.stata.com/statalist/archive/2004-11/msg00289.html) you
> cannot run -heckman- on panel data, though the -gllamm- and -ssm-
> (both available via -findit-) commands may provide alternatives. There
> are other alternatives out there, but you may not get much useful
> guidance without providing more info about your specific model. In the
> near term,  you might want to try -findit xtabond2- and read the paper
> by that program's author David Roodman
> (http://www.cgdev.org/content/publications/detail/11619) since you
> seem to be interested in lags (in what context is not clear).  You may
> also want to read these papers on approaches to sample selection in
> panel data:
>
> Kyriazidou, Ekaterini. 1997. "Estimation of a Panel Data Sample
> Selection Model", Econometrica, 65(6): 1335-1364.
> http://links.jstor.org/sici?sici=0012-9682%28199711%2965%3A6%3C1335%3AEOAPDS%3E2.0.CO%3B2-B
> or
> Lewbel, Arthur. Revised December 2005. "Simple Endogenous Binary
> Choice And Selection Panel Model Estimators." Boston College.
> http://fmwww.bc.edu/EC-P/WP613.pdf
> or
> Lee, David S. June 2002. "Trimming for Bounds on Treatment Effects
> with Missing Outcomes" NBER Working Paper No. T0277.
> http://www.nber.org/papers/t0277
> [with an interesting application in http://www.nber.org/papers/w11384
> called "Incomes in South Africa Since the Fall of Apartheid" by Murray
> Leibbrandt, James Levinsohn, and Justin McCrary, modeling selection
> into nonzero income]
>
> On 7/23/07, Seema Bhatia <ler02sb@reading.ac.uk> wrote:
>> I am trying to explore the possibility of using the 2 stage Heckmen
>> Sample
>> selection method within a panel using a fixed/random effects model for
>> some
>> trade data. Would anyone know how to do this using time lags?
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