Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Re: Stata Heckman and Mills ratio


From   Christopher Baum <baum@bc.edu>
To   seb nieto <nietoseb@yahoo.com>
Subject   st: Re: Stata Heckman and Mills ratio
Date   Thu, 24 Sep 2009 13:10:57 -0400

Seb,

you can always create an r^2 measure from the squared correlation of actual and predicted observations used in the estimation. So something like

reg y...

heckman y...
predict double heckp if e(sample), xb
corr heckp y
di r(rho)^2

which should be comparable to the r^2 displayed from the regress.

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html

On Sep 24, 2009, at 12:50 PM, seb nieto wrote:

Dear Kit,

I am running a regression in which one of the explanatory variables could have a "selection bias".
The basic equation is
reg y x1 x2 x3 x4     (equation 1)

However x2 has a selection bias problem that can affect the result of equation 1

I then run the following regression:
heckman y x1 x3 x4, select(x2 = Z1) twostep mills(lambda) (equation 2) in which Z1 are a set of explanatory variables (some of them different than x1, x3 and x4).

I would like however compare the R2 of the equation (1) with respect to equation (2). Can I then run the following regression and report the results of equation (3) instead of those of equation (2)?:

reg y x1  x3 x4  lambda   (equation 3)

Of course, lambda variable of eqaution 3 is estimated from equation 2.

Thank you very much for your help.



*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index