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

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

Subject |
st: AW: Sign of Lambda in heckman |

Date |
Mon, 1 Mar 2010 14:53:27 +0100 |

<> As [R], p. 651 says: lambda is the product of rho and sigma. If all you are interested in is the sign, then sigma is irrelevant, since it will always be positive, being a standard deviation. So you are really asking for information about rho: I would check the references at the beginning of the "Methods and formulas" for more insights about its meaning. HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Sascha Steffen Gesendet: Montag, 1. März 2010 14:27 An: statalist@hsphsun2.harvard.edu Betreff: st: Sign of Lambda in heckman Dear All, I was wondering about an economic interpretation of the sign of the lambda in a heckman selection model. For example, I am interested in factors reducing default rates of firms. I only observe the performance of the loan once the loan is approved. I use a selection model to account for this. My lambda from the heckman model turns out to be significant and negative. What is the interpretation? In what direction is the bias? Can I interpret the negative sign, that information has been used to screen and filter out bad applicants? What do you think? Best wishes, Sascha * * 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: Sign of Lambda in heckman***From:*"Sascha Steffen" <steffen@bank.bwl.uni-mannheim.de>

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