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


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: How to understand the linear prediction after -heckman-?
Date   Tue, 29 Sep 2009 17:22:22 +0800

Dear Martin,

thank you for your reply and help.

Indeed, after leaving "mill" out of my -regress- prediction, the results are the same.

However, which one is correct? To add "mill" in the -heckman- prediction or to leave it out of my -regress- prediction if I need to get the prediction and R-squared after -heckman-?

Best regards,
Rose


----- Original Message -----
From: Martin Weiss <martin.weiss1@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Subject: st: RE: How to understand the linear prediction after -heckman-?
Date: 2009-9-29 03:03:45


<>

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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