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st: RE: How to understand the linear prediction after -heckman-?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: How to understand the linear prediction after -heckman-?
Date   Mon, 28 Sep 2009 21:03:45 +0200

<>

You have to leave "mill" out of your -predict-ion...


**************
use http://www.stata-press.com/data/r11/womenwk.dta, clear

heckman wage educ age, /*
*/ select(married children educ age)/*
*/  twostep mills(mill)
predict yheck

reg wage educ age mill
gen yreg=_b[_cons]+_b[educ]*educ + /*
*/ _b[age]*age

su y*
compare yheck yreg
**************


HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of gjhxmu@sina.com
Sent: Montag, 28. September 2009 19:38
To: statalist
Subject: st: How to understand the linear prediction after -heckman-?

Dear statalists,
In my mind, the result of -heckman- is the same as the result of -reg- with
lambda as an additional independent variable. However, I found something
different.
I typed the following in the stata, and the related results are as
followings.


. qui heckman wage educ age, select(married children educ age) twostep
mills(mill)

. qui predict double yheck if wage!=.

. qui corr yheck wage if wage!=.

. di r(rho)^2
.2512235

. qui reg wage educ age mill if wage!=.

. qui predict double yreg if wage!=.

. qui corr yreg wage if wage!=.

. di r(rho)^2
.27934983

. su yheck yreg

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
       yheck |      1343    21.96174    3.717985   14.79669   32.88486
        yreg |      1343    23.69217    3.332614   16.22861   33.78897


The predicted value should be the same and the R-squared should be the same
too.


Why different? 

Hope for any help and thank you very much.



Best regards,

Rose.
 

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