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st: selection and clustered s.e.


From   Rosa Sanchis-Guarner <rosa.sanchis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: selection and clustered s.e.
Date   Mon, 13 Aug 2007 20:35:39 -0400

Hi!
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
second.
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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