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st: Heckprob - Choice among nested models


From   Marco Sangiorgi <sangiorgi.marco@hotmail.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Heckprob - Choice among nested models
Date   Tue, 8 Nov 2011 23:24:45 +0100

Hi,
I'm running a probit model with sample selection (-heckprob-). I've built three kind of models of the type:
1) full model:   y = x1 + x2 + x32) model 2:      y = x1 + x23) model 3:      y = x1      + x3
Now I have to select the model that better fits the data. Here it is the procedure I've followed:a- In order to choose the model that better fits the data between the full model and model 2, I've tested the significance of x3   [result: x3 is highly significant]b- Then I did the same in order to choose between the full model and model 3 (that is, I've tested the significance of x2)   [result: x2 is highly significant]c- Since I found that x3 and x2 were significant, I can conclude that the full model is better than model 2 and model 3
Is it a correct procedure?Should I have to conduct tests for each equation (outcome and selection) separately?
Thanks,

Marco Sangiorgi 		 	   		  
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