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st: test of over-identifying restrctions after Heckman model


From   "Evren Ceritoglu" <evren.ceritoglu@tcmb.gov.tr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: test of over-identifying restrctions after Heckman model
Date   Wed, 5 Aug 2009 10:28:49 +0300

Hello Statalist,

I want to perform over-identifying restrictions (overid) test after Heckman two-step selection model. I must introduce at least one exogeneous variable in the probit equation, which becomes an instrument, for the Heckman model to hold. However, this process also reqires an overid test after the estimation to check whether the instruments are valid or not.

OLS: lny1 = X1b1 + X2b2 + u
Probit: d = X1b1 + Zb3 + e

(d: dummy variable, which is the selection criterion)
(Z: set of instruments, composed of dummy variables)

The overid command is useful after ivprobit or ivtobit, but it is not possible to use it after the Heckman model.

I tried to perform a LR test, but there was a problem! I stored the predictions (estimation results) from the overidentified regression (heckoverid) and also the predictions (estimation results) from the just-identified regression (heckjustid). However, stata says that heckoverid does not contain scalar e(ll), which I don't understand in both cases.

I) over-identified model

OLS: lny1 = X1b1 + X2b2 + u
Probit: d = X1b1 + Zb3 + e

II) just-identified model

OLS: lny1 = X1b1 + X2b2 + Zb3 + u
Probit: d = X1b1 + Zb3 + e

III) LR test

lrtest heckoverid heckjustid, df(1) (assuming that there is only one instrument)

Is there a feasible way to perform over-identifying restrictions test after the Heckman two-step selection model?

Thank you,

Evren Ceritoglu



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