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From |
mbaier <melanie.baier@c-lab.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: need help with heckprob in conjunction with ivprobit |

Date |
Tue, 04 Nov 2008 16:35:08 +0100 |

Of course, you're right. In this case, -heckprob- does not make much sense. Thanks for that one. Regarding the -first- option, I get the first stage results no matter if I turn the -first- option on or off (stata 10.0). Best regards, melanie Martin Weiss schrieb: > If all you want from -heckprob- are the first stage results, would it not be > easier to use the respective -probit- instead of -heckprob- to get those > predictions? > > ************* > webuse school, clear > heckprob private years logptax, sel(vote=years loginc logptax) nolog first > *shortcut to your goal > prob vote years loginc logptax > ************* > > BTW, the first stage results in the -heckprob- are only displayed if the log > for the maximization is on AND you specify the -first- option. Weirdly, when > I turn the log off with the -nolog- option, -first- seems to be ignored... > > HTH > Martin > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of mbaier > Sent: Tuesday, November 04, 2008 12:19 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: need help with heckprob in conjunction with ivprobit > > Dear statalisters, > I am new to Stata and I am not sure if the estimation procedure below > makes sense or if there are any pitfalls I may have ignored. Any help > would be greatly appreciated. > > My overall goal is to estimate the propensity to cooperate (yes/no) > subject to a few independent variables. > > 1) As first part of my estimation, I want to correct for selection bias, > since only the innovators had to answer if they cooperate or not. I > tried two ways, > one is the procedure suggested according to > http://www.stata.com/statalist/archive/2006-09/msg00772.html and the > second one is doing a heckprob, more precisely: > > xi: heckprob coop xi.independent varlist, select (inno=xi.independent > varlist), first > > In fact, I am not interested in the heckprob equation, but only in the > selection equation, since I want to determine the Inverse Mill' s Ratio. > After heckprob, I calculate the linear predictors of the selection equation > predict psel, xbsel > generate IMR= normalden(psel)/normal(pesel) > > I use the calculated values of IMR as additional regressor for the > substantial equation in 2). > > I have two questions: Is there a difference if I use the heckprob or the > procedure described in the link above (which was for a logit)? I > understand that one is following a probit and the other one a logit > distribution, but apart from this? As far as I can see from the results > of the second equation, there seems to be no difference. > Does it cause any problems if I only have categorial variables as > regressors? > > 2) The second part, the substantial equation, is supposed to account for > the selection bias of being an innovator or not AND the endogeneity of > the R&D intensity as an IV. > I consider R&D intensity as an endogneous variable, because theory says > that the propensity to cooperate and R&D intensity are interdependent. > Since cooperation is a dichotomous variable, I use > > xi: ivprobit coop xi.independent varlist IMR (R&D_int=instruments) > > The results of ivprobit show a significant Rho(-0.9), indicating that > R&D_int is in fact endogeneous (as far as I understand). > Unfortunately, not only the coefficient of the IMR turnes out to be > totally insignificant, but many regressors have become insignificant, > too. What does it mean and how can I solve this problem? I suspect that > the insignificance of the IMR coefficient may be caused by the fact that > the LR test of indep.equ. in the preceding heckprobit equation was > Prob>chi2=0.1461, but I am not sure if this tips the scales. > > I know these are a lot of questions, but maybe someone could show me the > right path. Maybe there are further aspects which I forgot to consider. > Thanks a lot, > melanie > > - > melanie baier > c-lab > > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Dipl.-Volkswirtin Melanie Baier C-LAB Business Development Fuerstenallee 11 33102 Paderborn, Germany Phone: +49 5251 60 61 35 Fax: +49 5251 60 60 66 URL: www.c-lab.de * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: need help with heckprob in conjunction with ivprobit***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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