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From |
kokootchke <kokootchke@hotmail.com> |

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

Subject |
RE: st: Sample selection and endogeneity (or, combining heckman and ivreg) |

Date |
Thu, 6 Aug 2009 02:21:57 -0400 |

Shehzad wrote: > To add to John's response, if your endogenous variable is binary, then I would use the following: > > probit y1 x1 x2 x3 > predict xbeta1, xb > gen imills1=normd(xb)/normprob(xb) if y1==1 > replace imills1=-normd(xb)/(1-normprob(xb)) if y2==0 > > heckman y2 y1 $yvar $zvar imills1 [pw=weight], sel(selection_probit= y1 $xvar imills1) cluster(commune) mills(imr2) > > I have assumed that the endogenous var is endogenous in both selection and outcome equation. Dear Shehzad, If I understand correctly, you are assuming that y1 would be the endogenous variable, and so I guess x1 x2 and x3 are instruments for it? My endogenous variable is not binary, it's a continuous variable. In this case, combining what you said and what John said, I would then use what John suggested: reg X Z (where X is the endogenous variable and Z is the instrument), predict X-hat... and then, instead of using X-hat directly in heckman model (like I believe John suggested), calculate the imr myself using these predicted values, and THEN use these predicted values in the heckman model... Am I understanding your approach correctly? Also, what are the dollar signs? Do they refer to lists of variables? Thanks. Adrian > Regards, > Shehzad > > > ----- Original Message ---- >> From: John Antonakis >> To: statalist@hsphsun2.harvard.edu >> Sent: Wednesday, August 5, 2009 7:18:14 AM >> Subject: Re: st: Sample selection and endogeneity (or, combining heckman and ivreg) >> >> Hi: >> >> One possibility is to manually obtain predicted values of the endogenous >> variables (using regress), which will give you consistent estimates. >> Then use the predicted values in the Heckman model and bootstrap the >> standard errors. >> >> HTH, >> John. >> >> ____________________________________________________ >> >> Prof. John Antonakis >> Associate Dean Faculty of Business and Economics >> University of Lausanne >> Internef #618 >> CH-1015 Lausanne-Dorigny >> Switzerland >> >> Tel ++41 (0)21 692-3438 >> Fax ++41 (0)21 692-3305 >> >> Faculty page: >> http://www.hec.unil.ch/people/jantonakis&cl=en >> >> Personal page: >> http://www.hec.unil.ch/jantonakis >> ____________________________________________________ >> >> >> >> On 05.08.2009 04:51, kokootchke wrote: >>> Dear all, >>> >>> I am trying to estimate an equation in which the dependent variable is only >> observed when a selection rule applies (your typical sample selection problem a >> la Heckman). One of the independent variables in the main equation is >> endogenous, and I'd like to use instrumental variables to address that issue >> within the Heckman framework. >>> >>> I haven't been able to find any papers or references that deal with this >> issue, especially because I have a panel dataset containing 40+ countries and >> about 60 time periods (quarters). My approach is to run the selection probit, >> then use the predicted values in a 2SLS framework. I guess I'd have to do some >> standard-error correction (any hints on this would also be useful)... but I >> wanted to ask if you guys could tell me whether there is a Stata command that >> does this or if there are any references you could suggest? >>> >>> For more information on my particular case, please see below. >>> >>> Thanks! >>> Adrian >>> >>> >>> p.s. A few more details on my model: >>> >>> I want to estimate the effects of GDP growth and other macroeconomic variables >> on bond spreads, so my dependent variable in the main equation is the yield >> spread of a bond. The problem is that these spreads are primary market spreads >> or "spreads at launch", which means they are only observed at the moment a >> country places a bond in the market. >>> >>> My panel data are organized at a quarterly frequency. Whether a country issues >> one or multiple bonds in a given quarter is irrelevant as I basically take a >> weighted average of all spreads issued in a given quarter and use that as my >> dependent variable. >>> >>> However, there are quarters when a country may not issue a bond... and this is >> the selection problem I'm trying to get at using a Heckman model. >>> >>> On top of this, if we believe that the spreads are somehow related to the >> level of interest rates in the country, then macroeconomic variables such as GDP >> growth are going to be endogenous. I have one (potentially two) instrumental >> variable I want to use, and this is why I want to do the 2SLS... >>> >>> Do you guys have any other suggestions besides what I suggested above? >>> >>> _________________________________________________________________ >>> Express your personality in color! Preview and select themes for Hotmail®. >>> >> http://www.windowslive-hotmail.com/LearnMore/personalize.aspx?ocid=PID23391::T:WLMTAGL:ON:WL:en-US:WM_HYGN_express:082009 >>> * >>> * 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/ _________________________________________________________________ Express your personality in color! Preview and select themes for Hotmail®. http://www.windowslive-hotmail.com/LearnMore/personalize.aspx?ocid=PID23391::T:WLMTAGL:ON:WL:en-US:WM_HYGN_express:082009 * * 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: Poisson vs. Linear regression for comparing rates***From:*Ashwin Ananthakrishnan <ashwinna@yahoo.com>

**Re: st: Poisson vs. Linear regression for comparing rates***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**st: Sample selection and endogeneity (or, combining heckman and ivreg)***From:*kokootchke <kokootchke@hotmail.com>

**Re: st: Sample selection and endogeneity (or, combining heckman and ivreg)***From:*John Antonakis <john.antonakis@unil.ch>

**Re: st: Sample selection and endogeneity (or, combining heckman and ivreg)***From:*Shehzad Ali <drshehzad_ali@yahoo.com>

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