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st: sample selection bias: rho and wald test

Subject   st: sample selection bias: rho and wald test
Date   Mon, 7 Jun 2010 17:16:49 +0200 (CEST)

Hi everyone,

I have a doubt related to the heckprob command. I want to estimate the
determinants of the person that carries out performance appraisal using
firm data. Since I only have observations of the dependent variable for
those firms that have actually implemented a performance appraisal system,
I want to control for potential sample selection bias. The dependent
variable is dichotomous, so I use the heckprob module of Stata. I run the
regression and get puzzling results. The estimated coefficient for rho is
not statistically significant from 0, which I think suggests that there is
not a selection bias. However, the wald test reports that I should reject
the null hypothesis that the equations are independent. The obtained rho
lies outside the -1, +1 range. Could this be the cause of the opposing
results concerning the existence of sample selection?

Thanks in advance,

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