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From |
Liam C Downey <Liam.Downey@colorado.edu> |

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

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

Date |
Wed, 22 Apr 2009 08:22:31 -0600 |

Thank you. The problem with my model was that you cannot use the 'cluster' option with the two-step Heckman command. However, your response guided me in the right direction. Thanks again. Liam -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss Sent: Wednesday, April 22, 2009 1:29 AM To: statalist@hsphsun2.harvard.edu Subject: st: AW: Re: Combining Heckman and Tobit Models <> My code did not wrap well in some email programs, which may lead to errors, so here it is again with line breaks inserted ************* webuse womenwk, clear qui{ heckman wage educ age, select(married children educ age) /// mills(mymills) two first estimates store heck reg wage educ age mymills } estimates table heck ., drop(select:) /// equations(1) style(oneline) ************* HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Martin Weiss Gesendet: Dienstag, 21. April 2009 23:58 An: statalist@hsphsun2.harvard.edu Betreff: st: Re: Combining Heckman and Tobit Models <> "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{ heckman wage educ age, select(married children educ age) mills(mymills) two first estimates store heck reg wage educ age mymills } estimates table heck ., drop(select:) equations(1) style(oneline) ***** HTH Martin _______________________ ----- Original Message ----- From: "Liam C Downey" <Liam.Downey@colorado.edu> 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)") > qui > > So one thing I am wondering is if there is a better way to run a tobit > model > using cmp. > > > The other option, I believe, is to calculate the inverse mills ratio for > the > selection 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 MODEL > > I first run a probit model, then calculate the inverse mills, then insert > it > into an OLS equation. > > > probit movetrct onsrel_to nhblackr educo adjfinco age agesq female > couple_o > tkidso 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/ * * 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/

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

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

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

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