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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Re: Combining Heckman and Tobit Models |

Date |
Tue, 21 Apr 2009 23:57:30 +0200 |

<> "But when I insert the inverse mills ratio into a regular OLS model to compare results to a regular Heckman model, I get very different results across the 2 models." My results are identical... ***** webuse womenwk, clear qui{

estimates store heck reg wage educ age mymills } estimates table heck ., drop(select:) equations(1) style(oneline) ***** HTH Martin _______________________

To: <statalist@hsphsun2.harvard.edu> Sent: Tuesday, April 21, 2009 8:21 PM Subject: st: Combining Heckman and Tobit Models

I would like to run a Tobit model using the the Heckman correction. I believe there are 2 options available to me. One is to do it using the commands available in the cmp.ado file. However, I run into 2 problems here. The first is that it takes a very long time to run a Tobit model using the following cmp command syntax:. cmp (fem_inc = kids male_educ), ind("cond(fem_inc, $cmp_cont,$cmp_left)")quiSo one thing I am wondering is if there is a better way to run a tobitmodelusing cmp.The other option, I believe, is to calculate the inverse mills ratio fortheselection equation and then manually insert the ratio into a Tobit model. But when I insert the inverse mills ratio into a regular OLS model to compare results to a regular Heckman model, I get very different results across the 2 models. However, the mills-inserted OLS results are very similar to the results I get when I run a Heckman model using the cmp commands (commands for the various models are listed below). So I am wondering if anyone knows why the cmp and manually inserted mills ratio results are similar to each other but different from the regular Heckman results. Am I using the wrong equations to calculate the inverse mills ratio? Is it due to differences in estimation procedures across the different modeling contexts? Some other reason? Thanks for your help, Liam REGULAR HECKMAN MODEL heckman onsrel_td onsrel_to nhblackr educo adjfinco countyear, select(movetrct = onsrel_to nhblackr educo adjfinco age agesq female couple_o tkidso ownero pperrmo samehs3o countyear ) cluster (id) MANUALLY INSERTING INVERSE MILLS INTO OLS MODELI first run a probit model, then calculate the inverse mills, then insertitinto an OLS equation.probit movetrct onsrel_to nhblackr educo adjfinco age agesq femalecouple_otkidso ownero pperrmo samehs3o countyear, cluster (id) predict p1, xb generate phi = (1/sqrt(2*_pi))*exp(-(p1^2/2)) generate capphi = normal(p1) gen mills1 = phi/capphi generate cap = normalden(p1) gen mills2 = cap/capphi regress onsrel_td onsrel_to nhblackr educo adjfinco countyear mills1, cluster(id) or regress onsrel_td onsrel_to nhblackr educo adjfinco countyear mills2, cluster(id) CMP COMMANDS . cmp setup. cmp (onsrel_td = onsrel_to nhblackr educo adjfinco countyear) (movetrct=onsrel_to nhblackr educo adjfinco age agesq female couple_o tkidso ownero pperrmo samehs3o countyear), ind($cmp_cont $cmp_probit) nolr qui cluster(id) * * 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/

**Follow-Ups**:**st: AW: Re: Combining Heckman and Tobit Models***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**References**:**st: Combining Heckman and Tobit Models***From:*Liam C Downey <Liam.Downey@colorado.edu>

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