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Re: st: RE: test for rho=0 in Heckman two-step procedure?


From   Michael Boehm <michael.boehm1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: test for rho=0 in Heckman two-step procedure?
Date   Thu, 18 Feb 2010 10:05:07 +0000

Thanks a lot for your help. I'll use the bootstrap then.

Michael

On Thu, Feb 18, 2010 at 8:50 AM, Martin Weiss <martin.weiss1@gmx.de> wrote:

>
> <>
>
>
> -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
> > *
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> >
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
> >
>
> *
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>
> *
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