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# st: simplified implementation of heckman estimator with gllamm

 From "marc frechet (statalist)" To statalist@hsphsun2.harvard.edu Subject st: simplified implementation of heckman estimator with gllamm Date Mon, 20 Jun 2011 09:32:00 +0200

```Hi all,

I am currently trying to implement an Heckman
estimator for a dynamic probit model.

I have panel data in the long form over three periods. I especially
focus on the existence of state dependence.

To study this inertia, I have used the -redprob- program with stata 10.
This program is great but possibilities are limited.

That is why I now build on the article of Arulampalam and Stewart, which
suggest that gllamm also allows to obtain the heckman estimator.

2F%2Fftp.iza.org%2Fdp3039.pdf&rct=j&q=simplified%20version%20of%

The equation (fifth equation in the paper cited above) to estimate with
gllamm seems rather simple :

Prob [ y_it = 1] = PHI [γ (1 − D_it ) y_(it −1) + (1 − D_it )X_it ' β +
D_it Z_i1' λ + {1 + (θ − 1)D_it }α_i ]

Where :

D: dummy variable for the first period.
X_it : vector of explanatory variables
Z_it : vector of variables for the first period, including instruments
alpha : unobserved heterogeity

The authors comment: "This can be viewed as a standard random effects
effect in period 1. Software that allows this form of
heteroskedasticity, such as the gllamm program in Stata, can be used to
estimate (it)"

Unfortunately, I am not really an econometrician. Furthermore, I lack of
skill with gllamm and i do not know how to translate this formula in
gllamm code.

Does anyone know a tread to code this with gllamm ?

Any help would be greatly appreciated.

Best,

Marc Frechet
University of Toulouse

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```