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st: Heckman Two-Step procedure and Robust Standard Errors


From   ABDIXHIKU Lumir <L.Abdixhiku@staffs.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Heckman Two-Step procedure and Robust Standard Errors
Date   Mon, 26 Sep 2011 03:45:27 +0100

Few questions related to Heckman Two-Step procedure, and robust Standard Errors. While running Two Step Heckman, there is no possibility of conducting robust SEs.  Is the lack of specific mention of robust SEs (only with Two Step Heckman but not in ML) in STATA because:
1) nobody has solved the problem in theory,
2) the problem has been solved in theory but not yet incorporated into Stata, or
3) the two-stage SEs are somehow also "robust" (and, if so, how is that done).

Thank you,
Lumir


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