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AW: st: Sample selection in fixed effects model


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: Sample selection in fixed effects model
Date   Mon, 1 Feb 2010 16:37:24 +0100

<> 

" From that I gather that there is not much hope that such a model
can ever be estimated regardless of software."


Are you implying, then, that the two references in http://www.stata.com/statalist/archive/2005-04/msg00112.html cannot be implemented in Stata?



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Maarten buis
Gesendet: Montag, 1. Februar 2010 16:22
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Sample selection in fixed effects model

--- On Mon, 1/2/10, mw N. van Horen wrote:
> Does anyone know whether a user-written program is
> currently available in stata to estimate a sample selection
> model for panel data (using fixed effects). There was some
> discussion on the subject in http://www.stata.com/statalist/archive/2005-04/msg00112.html
> from which I understand it was not implemented in 2005. Does
> anyone know whether this has changed? Or is anyone familiar
> with a program written in another statistical package
> (matlab, gauss etc). 

>From that post I read that the problem is that there is no such
thing as a fixed effects probit. That is still the case, as you
can read in the help file -xtprobit-: 

    "There is no command for a conditional fixed-effects model, 
     as there does not exist a sufficient statistic allowing 
     the fixed effects to be conditioned out of thelikelihood.  
     Unconditional fixed-effects probit models may be fit with
     probit command with indicator variables for the panels.  
     However, unconditional fixed-effects estimates are biased."

>From that I gather that there is not much hope that such a model
can ever be estimated regardless of software.

Sorry,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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