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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
AW: st: RE: test for rho=0 in Heckman two-step procedure? |

Date |
Thu, 18 Feb 2010 09:50:43 +0100 |

<> -test- can only be run with corresponding entries in the "e(b)" and "e(V)" matrices posted by -heckman-. If you type - mat l e(b)- and -mat l e(V)- after estimation, you can see that there are no entries for -rho-. -bootstrap-ping the statistic may be a way out. HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Michael Boehm Gesendet: Donnerstag, 18. Februar 2010 00:09 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: RE: test for rho=0 in Heckman two-step procedure? Probably I'm just blind, but I do really not find an option to do the "t-test" for rho=0. For example, if I do the command, there is no test statistic w.r.t. rho: . webuse womenwk . heckman wage educ age, select(married children educ age) twostep Heckman selection model -- two-step estimates Number of obs = 2000 (regression model with sample selection) Censored obs = 657 Uncensored obs = 1343 Wald chi2(2) = 442.54 Prob > chi2 = 0.0000 ---------------------------------------------------------------------------- -- | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+-------------------------------------------------------------- -- wage | education | .9825259 .0538821 18.23 0.000 .8769189 1.088133 age | .2118695 .0220511 9.61 0.000 .1686502 .2550888 _cons | .7340391 1.248331 0.59 0.557 -1.712645 3.180723 -------------+-------------------------------------------------------------- -- select | married | .4308575 .074208 5.81 0.000 .2854125 .5763025 children | .4473249 .0287417 15.56 0.000 .3909922 .5036576 education | .0583645 .0109742 5.32 0.000 .0368555 .0798735 age | .0347211 .0042293 8.21 0.000 .0264318 .0430105 _cons | -2.467365 .1925635 -12.81 0.000 -2.844782 -2.089948 -------------+-------------------------------------------------------------- -- mills | lambda | 4.001615 .6065388 6.60 0.000 2.812821 5.19041 -------------+-------------------------------------------------------------- -- rho | 0.67284 sigma | 5.9473529 lambda | 4.0016155 .6065388 ---------------------------------------------------------------------------- -- On Wed, Feb 17, 2010 at 8:30 PM, Martin Weiss <martin.weiss1@gmx.de> wrote: > > <> > > All the options are arrayed in the help file, so what is the fuss about? > > > HTH > Martin > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Michael Boehm > Sent: Mittwoch, 17. Februar 2010 21:19 > To: statalist@hsphsun2.harvard.edu > Subject: st: test for rho=0 in Heckman two-step procedure? > > Dear all, > > when I run the "heckman depvar [indepvars], select(varlist_s) twostep" > command I do not get a test for rho=0 (no correlation between errors > in the selection and the main equation) - contrary to the ML version > without the [twostep] option. I also do not find an option that > provides this test and couldn't find anything on a google search. > > Can someone help? > > Michael > * > * 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/ > > * > * 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/ > * * 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/ * * 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/

**References**:**st: test for rho=0 in Heckman two-step procedure?***From:*Michael Boehm <michael.boehm1@gmail.com>

**Re: st: RE: test for rho=0 in Heckman two-step procedure?***From:*Michael Boehm <michael.boehm1@gmail.com>

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