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

 From "Schaffer, Mark E" To 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
> 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>:
>
> >> 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
> >
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
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