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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 |
Thu, 2 Aug 2007 10:46:02 -0400 |

Seema-- I am not familiar with the "standard gravity model" though I suspect it models trade as a function of the reciprocal of the square of distance along an ellipsoid between the centroids of two countries, among other things. This seems inappropriate for various reasons (even if using production- or population-weighted centroids, the relevant distance is not as the crow flies--e.g. contiguity is likely more important, as are topographical features, and historical relationships/religion/language/etc. even more important) though if the model is "standard" I suppose am unlikely to talk you out of it. For the missing data, have you considered multiple imputation (-ssc inst mim- etc.)? Is the pattern of missing data nonrandom according to some functional relationship you know something about, or do you characterize as nonrandom because some countries have more missings than others? Note that -mim- supports -xtpoisson- among other commands. In what sense does a Hausman test require you to use a random effects model? What were your commands and output for the Hausman test? Note also you may want a Hausman test robust to serial correlation: http://www.stata.com/statalist/archive/2004-08/msg00548.html though if you are focusing on sub-Saharan Africa you may not have enough countries to claim a cluster-robust estimator is justified (asymptotic in number of clusters; 50 clusters is enough for most purposes). It seems to me that the endogeneity issue is bigger than the missing data or specification issues. Countries that trade more will produce more output, etc. This is an even bigger problem in a dynamic setting--how do empirical studies on trade deal with this? Perhaps you need -xtivreg2- (ssc inst xtivreg2) and some valid instruments? On 8/2/07, Seema Bhatia <ler02sb@reading.ac.uk> wrote: > Hi Austin > > Thanks for your input. > > In my case, bilateral trade between a country pair (Xij) is measured as > import value (CIF import values in US$ deflated by the appropriate price > deflator) i.e. exports from country j are imports into country i as it is > done in a standard gravity model. this bilateral trade in sub Saharan Africa > is being modelled as a function of gdps, populations, distance, > landlockedness, contiguity, some calculated infrastructure indices and > regional trade groups etc. in order to study the impact of trade agreements > within the region. > > In terms of the missing data, I am lucky to have data for a lot of the > country pairs since these are all in Sub Saharan Africa where data is a huge > issue, particularly those that are war torn and in the early years of my > analysis (1985-1994). I have scouted all possible datasources and compiled > the import values where missing. > > There are two issues with the missing data. There are both zeroes or no data > available for several country pairs over the years. Since my major data > source has made that distinction specifically, I have decided that zero will > be an answer (meaning there was zero trade) while I still need to account > for the missing values/not reported (meaning we dont know if there was trade > or not) data - the pattern for this is non random which is why I am keen on > using a sample selection bias correction method to account for it. > > A Hausman test has also revealed that I am required to fit a random effects > model for my analysis. So I was hoping that I could do this within the > Panel-Heckman setting. Am exploring gllamm at the moment but am still quite > unclear on how to go about it as econometrics is not really my forte. > > Please let me know if I have given you enough details here, as a typical PhD > wannabe, I usually tend to think everyone knows what i am talking about. > > Many thanks > > Seema > > > 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? > > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Using 2 stage Heckmen Sample Selection with Lags in STATA***From:*"Austin Nichols" <austinnichols@gmail.com>

**References**:**Re: st: Using 2 stage Heckmen Sample Selection with Lags in STATA***From:*"Seema Bhatia" <ler02sb@reading.ac.uk>

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