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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Using 2 stage Heckmen Sample Selection with Lags in STATA
Date   Thu, 2 Aug 2007 17:41:35 +0100

Seema,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Seema Bhatia
> Sent: 02 August 2007 16:18
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Using 2 stage Heckmen Sample Selection with 
> Lags in STATA
> 
> Dear Austin

<snip>

> As far as the Hausman test goes, I used the same model that I 
> intend to use in my analysis (bilateral trade as a function 
> of gdps, populations, distance, contiguity, membership of 
> agreements, infrastructure indices etc) and tested for fixed 
> effects, then random effects. therefore
> 
> xtreg dependentvar independentvar1 independentvar2 
> independentvar3 ... , fe then xtreg dependentvar 
> independentvar1 independentvar2 independentvar3 ... , re
> 
> having stored both these, i went on to do the hausman test 
> and got an insignificant P-value, therefore justifying the 
> use of random effects model.

FYI, xtoverid, available from ssc-ideas in the usual way, will do
heteroskedastic and/or cluster-robust Hausman-type tests afer xtreg.

Cheers,
Mark

> 
> Am not familiar with the ssc inst mim or a lot of statistical 
> jargon to be honest so wouldn't have a clue!
> 
> thanks
> 
> seema
> 
> 
> > 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 
> >>> exports+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?
> >>>
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