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From |
"Sarah Edgington" <sedging@ucla.edu> |

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

Subject |
st: Heckprob estimation question |

Date |
Wed, 10 Mar 2010 15:53:54 -0800 |

Hello all, I am trying to estimate probit models with heckman selection using the heckprob command (using Stata/SE 10.1 for windows). I first noticed a problem when I ran the same model twice and noted that Stata performed a different number of iterations when fitting the models. Since then I've run the models a number of times with the trace and showstep options on and confirmed that the iterations are slightly different each time. In general, the resulting coefficient and standard error estimates all seem to be approximately the same for each run (differences are in the fourth decimal place when there are differences). The fact that I'm not getting precisely the same results each time is disconcerting but I would be less worried about it were it not for the fact that sometimes the models do not converge at all within a reasonable time frame. The iterations for the first three estimations steps--fitting probit model, fitting selection model, and fitting starting values--are always the same. It's when it gets to fitting the full model that the runs start to diverge. I do have some independent variables that I am including in the main model but not the selection model because they are only observed for the selected population. However, I've read a number of examples of the probit model with heckman selection that don't include the same set of covariates in the selection model leading me to believe that this strategy is not inherently flawed. Moreover, I seem to have the same estimation problem even if I leave out entirely the explanatory variables that are only observed for the selected population (thus running a model where the only variable that differs between the selection model and the main model is the variable we're using to identify the selection model). I tried setting the seed but this doesn't seem to change the behavior. Running the same model with the same seed set still results in different iterations. I'm now really worried since this suggests a) I have no way of perfectly replicating my own results and b) there is something fundamental about the way these models work that I clearly do not understand. Has anyone seen this before? Is this a sign of some underlying problem with the data or the model? If so, does anyone have any thoughts on how to pinpoint what exactly is causing the problem? Thanks. -Sarah Edgington * * 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/

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