Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: -heckman- and the identifying variable(s)


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: -heckman- and the identifying variable(s)
Date   Mon, 15 Oct 2007 16:18:02 +0100

Louis,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Louis Boakye-Yiadom
> Sent: 15 October 2007 14:18
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: -heckman- and the identifying variable(s)
> 
> Thanks. I was hoping there is an equivalent of the Sargan test.

If you're willing to be specific about which of the overidentifying
restrictions you have doubts about, you can estimate using -heckman- and
ML and do a LR test.  That is, do one estimation with the full set of
identifying variables, do a second estimation omitting the ones you have
doubts about, and do your LR test.  The interpretation is the same as
that in the IV context - under the null, the test stat should be
distributed as chi-sq with dof=#omitted identifying variables.

HTH.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

> Louis
> 
> Quoting Maarten buis <maartenbuis@yahoo.co.uk>:
> 
> > --- Louis Boakye-Yiadom <L.Boakye-Yiadom@bath.ac.uk> wrote:
> >> When using the -heckman- command, is there a way of checking the 
> >> validity of the identifying variable(s)?
> >
> > No, that is the big problem with every type of "causal" 
> model, in the 
> > end they rely on assumptions you just have to believe. Descriptive 
> > models are in that sense much more scientific.
> >
> > -- Maarten
> >
> >
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology Vrije 
> Universiteit Amsterdam 
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
> >       ___________________________________________________________
> > Yahoo! Answers - Got a question? Someone out there knows 
> the answer. 
> > Try it now.
> > http://uk.answers.yahoo.com/
> > *
> > *   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/
> >
> 
> 
> 
> *
> *   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/
> 

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index