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st: RE: heckman correction with endogenous variables included


From   "Ye, Jingjing" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: heckman correction with endogenous variables included
Date   Tue, 8 Mar 2011 01:32:56 +0000

Hi, Sharon
What I did is use 2sls  in the second step (instead of the regular ols in Heckman's model) along with the IMR obtained from the first step (the probit model with employed dummy as the outcome).
However, if you want exclusive restriction for the purpose of identification, I think you need an "extra" instruments in the probit model. 
BTW, it is not restricted to use 2sls in the second step, I think. You can use the estimation method you want to deal with endogeneity. And there is non(semi)-parametric way to cope the two problems as well, for instance, full-information maximum likelihood estimation procedure(the Discrete Factor Method). But I don't know much about it.
Hope it helps,
****************************************************
Jingjing Ye
Department of Economics
Southern Methodist University
Dallas, TX 75275-0496
****************************************************
________________________________________
From: [email protected] [[email protected]] on behalf of xueliansharon [[email protected]]
Sent: Monday, March 07, 2011 7:08 PM
To: [email protected]
Subject: st: heckman correction with endogenous variables included

Dear all,

I want to estimate a wage equation (wage=x'b+u), and I want to use Heckman
correction procedure to correct for sample selection bias since only working
persons' wages are observed. However, the x's in the wage equation include
two endogenous variables x1 and x2, and I want to employ instruments I1 and
I2 (here, I1 is the IV for x1, I2 is the IV for x2) to address the
endogeneity problem. But I don't know how to employ instrumental technique
and Heckman correction simultaneously. Could anybody tell me how to solve
this problem?

Thanks in advance.

Best,
Sharon

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