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


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using 2 stage Heckmen Sample Selection with Lags in STATA
Date   Wed, 1 Aug 2007 11:26:56 -0400

Seema--
I think I already answered the question about the -heckman- approach
likely being hard in your panel data, or perhaps impossible without a
significant investment in learning -gllamm- on your part, or perhaps
writing new routines.  But I still don't see necessary detail in your
description of the data--how are you measuring trade?  Volume of
exports+imports?  Net exports?  Indicator for any trade at all? Why is
there missing data as opposed to just zeros for your LHS var?  If
you've got trade measured as a strictly positive variable and missings
where no trade exists, then you can replace trade=0 if mi(trade) and
run xtpoisson with country pair fixed effects, right?

On 8/1/07, Seema Bhatia <ler02sb@reading.ac.uk> wrote:
> 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--
> > 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.
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