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st: RE: statistics in heckman


From   Mauro Mastrogiacomo <M.Mastrogiacomo@cpb.nl>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: statistics in heckman
Date   Fri, 29 Jul 2011 11:46:20 +0200

Hi
Sigma is the standard deviation of the error term in the regression equation. It is estimated as lnsigma (for technical reasons) and then transformed in sigma for your convenience.
mauro

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of joachim jarreau
Sent: vrijdag 29 juli 2011 11:29
To: statalist@hsphsun2.harvard.edu
Subject: st: statistics in heckman

Hello,

could anyone please explain to me what the 'sigma' is in results of
the heckman procedure? (It's actually lnsigma which is reported).

'rho' is the estimated coefficient on the inverse mills ratio, ok.
But I could not gather what sigma is, there is nothing with this name
in my textbook, section on the heckit.

The standard error on rho?

Thank you in advance,

joachim
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