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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 15:24:25 -0400 |

webuse womenwk,clear reg wage education age married

twostep mills(lambda) reg wage education age married lambda

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 1:35 PM, seb nieto wrote:

Thank you very much for your quick answer.Can I however use the equation 3 (below) as an estimation thatincorporates the lambda?Sebastian --- On Thu, 9/24/09, Christopher Baum <baum@bc.edu> wrote: From: Christopher Baum <baum@bc.edu> Subject: Re: Stata Heckman and Mills ratio To: "seb nieto" <nietoseb@yahoo.com> Cc: statalist@hsphsun2.harvard.edu Date: Thursday, September 24, 2009, 1:10 PM Seb,you can always create an r^2 measure from the squared correlation ofactual and predicted observations used in the estimation. Sosomething likereg 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 explanatoryvariables 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 theresult 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 themdifferent than x1, x3 and x4).>> I would like however compare the R2 of the equation (1) withrespect to equation (2). Can I then run the following regression andreport 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 fromequation 2.> > Thank you very much for your help. > >

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