Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: About the Heckman selection model


From   Maria Quattri <Maria.Quattri@manchester.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: About the Heckman selection model
Date   Wed, 17 Feb 2010 11:51:50 +0000

Dear Statalist:

A few questions related to the Heckman selection model:

1) Both the coefficients for the Probit and those for the OLS seem to have no direct interpretation. Therefore, I would consider the significance of marginal effects only: Pr(y observed) for the Probit and E(y|y observed) for the OLS. Is that right?

2) Is there any way to test the bivariate normality of the error terms for the maximum likelihood estimation in Stata?

3) While Stata twostep option automatically corrects standard errors after the inverse Mills ratio enters the regression as estimated parameter (i.e. bootstrapping is not necessary), the twostep does not allow robust estimation. This seems to suggest that running Heckman manually (Probit+OLS with robust s.e. and boostrap, say 1000 replications) could be better option for inference. Is it so?

4) The robust MLE is less general than the two-step, yet it seems to be preferred apart from when the estimated rho approaches 1. Which value for rho is "big enough" to suggest the use of the twostep procedure?

With thanks and regards

Maria



~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Maria Quattri
PhD student
Economics, School of Social Sciences
University of Manchester, UK
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index