Thank you very much for your quick answer.
Can I however use the equation 3 (below) as an estimation that
incorporates the lambda?
Sebastian
--- On Thu, 9/24/09, Christopher Baum <[email protected]> wrote:
From: Christopher Baum <[email protected]>
Subject: Re: Stata Heckman and Mills ratio
To: "seb nieto" <[email protected]>
Cc: [email protected]
Date: Thursday, September 24, 2009, 1:10 PM
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.
>
>
