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From |
"Vassilopoulos Achilleas" <vassilopoulos.statalist@gmail.com> |

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

Subject |
st: RE: statistics in heckman |

Date |
Fri, 29 Jul 2011 17:18:04 +0300 |

Joachim, sigma is the estimator of the standard error of the residual in the regression equation. Also, 'rho' is not the estimated coefficient of the inverse mills ratio (IMR) as you mentioned in your initial post. 'rho' is the correlation coefficient of the error terms from the selection and the regression equation. The coefficient of IMR is lambda and can be obtained by multiplying rho with sigma. As an aside, if you're not using the -twostep- option there is no point of talking about IMR's coefficient since there is no such variable in your regression equation; rather ρ and σ are directly estimated and lambda is just calculated by their multiplication. P.S: I think Christophe is right that it should be u1~N(0,sigma^2) and NOT u1~N(0,sigma) in the manual, could someone clarify that? Hope this helps, _____________ - _______________ Achilleas Vassilopoulos Agricultural University of Athens, Dept. of Agricultural Economics and Rural Development, Lab. of Political Economy and European Integration. Iera Odos 75, 11855, Athens, Greece Tel: (+30) 210-5294726 Fax: (+30) 2105294786 e-mail : avassilopoulos.aua@gmail.com -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of joachim jarreau Sent: Friday, July 29, 2011 12:29 PM 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 * * 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/ * * 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/

**References**:**st: statistics in heckman***From:*joachim jarreau <joachim.jarreau@gmail.com>

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