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From |
nicola.baldini2@unibo.it |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: selection and clustered s.e. |

Date |
Sat, 18 Aug 2007 12:15:57 +0200 |

More comments: 1) xtfevd (from http://www.polsci.org/pluemper) estimates a three stage panel fixed effects vector decompostion model that allows for the inclusion of time-invariant variables and efficiently estimates almost time-invariant explanatory variables within a panel fixed effects framework 2) it's quite long, but you can have something like -xtheckman- by using -xtlogit- and taking the results as inputs to -gllamm- (from ssc), then you calculate predictions with -gllapred- (same package), and finally you use them as weights in -xtregre2- (from ssc). [The use of -gllamm- is necessary because predictions from -xtlogit- assume u_i=0; the use of -xtlogit- is preferable because -glamm- may be quite slow] Nicola At 02.33 15/08/2007 -0400, Rosa Sanchis-Guarner wrote: >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? * * 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/

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