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RE: st: random effects with truncreg possible


From   Even Bergseng <even.bergseng@umb.no>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: random effects with truncreg possible
Date   Fri, 8 Feb 2008 21:33:53 +0100

The Heckman or Crag model has been extended to the panel setting. However, Heckman RE is not straightforward to estimate as there is no way to bring the individual effects forward from the first (probit or tobit) step. There is a growing literature on Heckman panel models. A recent contribution which gives a good introduction is Dustmann, C., & M. E. Rochina-Barrachina. "Selection correction in panel data models: An application to the estimation of females' wage equations." Econometrics Journal 10, no. 2(2007): 263-293.

regards,
Even Bergseng


>-----Original Message-----
>From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>statalist@hsphsun2.harvard.edu] On Behalf Of Anita
>Sent: Friday, February 08, 2008 3:06 PM
>To: statalist@hsphsun2.harvard.edu
>Subject: Re: st: random effects with truncreg possible
>
>I already use xttobit as an alternative, but I also need to estimate
>Craggs model as it allows for different explanatory variables in the
>selection part and in the regression part.
>
>Maarten buis schrieb:
>> The easiest solution would be to use -xttobit-.
>>
>> Hope this helps,
>> Maarten
>>
>> --- Anita <anita.metzger@vtxmail.ch> wrote:
>>
>>
>>> Dear Statalist Members
>>>
>>> Sorry for posting again, I learned that I didn't explain my problem
>>> accurately. Sorry for any inconvenience caused.
>>> I am currently estimating a model based on Cragg ("Some statistical
>>> models for Limited Dependent Variable with Application to the Demand
>>> of
>>> Consumer Goods", 1971)
>>>
>>> My research topic is to compare the models used in the literature to
>>> explain the allocation of bilateral ODA (official development
>>> assistance, so money for development).
>>> So there exist countries who do not recieve ODA (value =0) and others
>>>
>>> do. I do have data on both. So it is not a typical truncation
>>> problem.
>>> First there is a selection equation to decide if a country gets ODA,
>>> I
>>> estimate this via a Probit Model. (y1=1 if they get ODA)
>>> on a second step I estimate for all positive outcomes of the Probit
>>> Model a Regression to estimate how much money they get.
>>>
>>> As I am working with a panel (different developing countries over
>>> time)
>>> I would like to do this with random effects. For Probit there exists
>>> a
>>> xtprobit command, for truncreg (command for the regressionpart) I
>>> didn't
>>> find anything.
>>> Is there a possibility to do this?
>>> As I indicated above, I have to compare the models used in the
>>> literature, so I have to do Cragg's Model preferably with random
>>> effects
>>> so I can compare with other models.
>>>
>>> As a second question: is there a better way to solve the problem as
>>> with
>>> truncreg? As I know, the studies used this, but it does not seem to
>>> fit
>>> very well
>>>
>>> thanks a lot
>>> Anita
>>>
>>>
>>>
>>>
>>>
>>> *
>>> *   For searches and help try:
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>>>
>>>
>>
>>
>> -----------------------------------------
>> 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/
>> -----------------------------------------
>>
>>
>>       __________________________________________________________
>> Sent from Yahoo! Mail - a smarter inbox http://uk.mail.yahoo.com
>>
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>>
>>
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