Many thanks for this. Is this suggestion applicable to
only the ml version of -heckman-? Thanks.
Louis
--- "Schaffer, Mark E" <[email protected]> wrote:
> Louis,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On
> Behalf Of
> > Louis Boakye-Yiadom
> > Sent: 15 October 2007 14:18
> > To: [email protected]
> > 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: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
> > Louis
> >
> > Quoting Maarten buis <[email protected]>:
> >
> > > --- Louis Boakye-Yiadom
> <[email protected]> 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
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