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st: question about Heckman and general Heckit models


From   "Ed Levitas" <levitas@uwm.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: question about Heckman and general Heckit models
Date   Fri, 8 May 2009 10:12:46 -0500

Statalisters,

This is more of a general question about the Heckman Selection procedure
(aka Heckit) but also has obvious implications for the HECKMAN procedure
in Stata.

How can one assess the "suitability" of the first stage selection model?
That is, are there tests that indicate that the selection equation
does/does not effectively model selection?

Wooldridge (2002) among others notes the importance of testing for
collinearity between the inverse Mills' ratio and the explanatory
variables in the outcome equation.

Can one, for example, also perform a likelihood ratio test between the
first stage unrestricted probit, and a constant only probit?

Any suggestion would be greatly appreciated.

Thanks
Ed

****************************************
Edward Levitas, PhD
Associate Professor
Sheldon B. Lubar School of Business 
University of Wisconsin-Milwaukee
3202 N. Maryland Ave.
Milwaukee, WI  53211
ph: (414) 229-6825
fx: (414) 229-6957

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