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RE: st: RE: need help with heckprob in conjunction with ivprobit


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: need help with heckprob in conjunction with ivprobit
Date   Tue, 4 Nov 2008 17:53:01 +0100

Wow, so that would render the -first- option redundant, then? I hope not.
Try:

************
webuse school, clear
heckprob private years logptax, sel(vote=years loginc logptax)
heckprob private years logptax, sel(vote=years loginc logptax) first
************

and watch out for the first stage results within the maximization log. I
hope you find the first stage by scrolling up. My point was that with the
-nolog- on (to prevent a cluttered screen), the -first- option did not
operate, so when I 

*******
webuse school, clear
heckprob private years logptax, sel(vote=years loginc logptax) nolog
heckprob private years logptax, sel(vote=years loginc logptax) nolog first
*******

I do not get the first stage results...


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 4:35 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: need help with heckprob in conjunction with ivprobit

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
> 
> 
>  
> 
>  
> 
> 
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-- 
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


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