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st: selection and clustered s.e.

From   Rosa Sanchis-Guarner <>
Subject   st: selection and clustered s.e.
Date   Mon, 13 Aug 2007 20:35:39 -0400

I am running a migration equations with data for 15 years. I have 2162
flows (which I consider the individuals), for every year. I did a FE
estimation, but as I am highly interested on the time-invariant
variables, I also estimated using OLS and clustering the s.e. by
individual. My problem is that I have some zero flows, and the
equation is estimated in logs, so when I do the OLS I just drop them.
I don't have many, but one option is to use a Heckman model to control
for the zeros in the first step and to explain the flows in the
How can I combine the panel structure with the heckman model?
I have two options:
- do a FE estimation (with the desadvantage that I lose the info on
the time-invariant variables, very important in my model)
- do OLS with clustered s.e.

I have been thinking that actually Heckman two-step just includes the
inverse mill-ratio in the second step, so I could actually calculate
it and include it in a OLS with cluster s.e. Does this make sense? How
would I do it in the FE estimation?

Any suggestions accepted!
Thank you very much!

Rosa Sanchis
University of Barcelona

 "If we knew what it was we were doing, it would not be called
research, would it?" - Albert Einstein

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