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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: heckman selection model in stata question |

Date |
Mon, 28 Nov 2011 09:27:36 +0100 |

The reason why Statalist bounced your messages is that you did not sent it as plain text. See the statalist FAQ: <http://www.stata.com/support/faqs/res/statalist.html> for a list of further possible reasons why your email got bounced and what to do about it. I'll forward your message to Statalist now, but I obviously cannot do so every time any user has trouble. The difference in your two predicted probabilities will also include differences due to differences in the distribution of your control variables. So if you do that you are no longer controlling for your control variables. This is not necessarily bad, but it is something you have to consciously decide. The key part of the -margins- command is the -expression(normal(xb(select)))- option. Notice that you cannot refer to xb(stock). The reason is that Stata internally calls the selection equation select and not stock. -expression()- tells Stata what it should take as the dependent variable. In this case you told it to take -normal(xb(select))- as the dependent variable. -xb(select)- is the linear predictor of the selection equation, and -normal()- is the cumulative distribution function for the normal distribution. The selection equation is in essence a probit model, which means that it transforms the linear predictor using the CDF of the normal distribution to get the predicted probability. So -normal(xb(select))- is the predicted probability to be selected, i.e. the predicted probability of holding stock. Hope this helps, Maarten --- Miguel Ampudia wrote me privately: My name is Miguel Ampudia and I am a Phd student in economics at Boston University. I have a problem I am not sure how to solve with stata and i was wondering if you could give me your opinion. I have registered into statalist but the server bounces my e-mails constantly and I have had no response from the moderator when e-mailed him. I would appreciate it if you could help me with this. My problem is the following I am running a heckman selection model and I want to get the effect of my different exogenous variables on the probability of the section variable ocurring. Being more specific, I am studying the decision of holding stock and what percentage of my savings I invest in stock. Whether I invest in stock or not is my selection variable. I use the heckman command as summarized here: heckman stock_share college ... , two sel(stock = college ... + identification variables) And then I want to asses the effect of having a college degree on the probability of holding stock. I thought this could be done as follows: predict prob1 if college == 0, psel predict prob2 if college == 1, psel Then I would get my result by doing result = prob2 - prob1 First, is this the right way of getting the effect on the probability I want? If so, how do I calculate the standard error of result? After reading one of your answers to a similar problem in statlist, it seems that I could get what I want by doing: margins, dydx(*) expression(normal(xb(stock))) but I am not sure since I do not really understand the contents specified in this command. Thank you very much for your attention. Best, Miguel -- -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**Follow-Ups**:**Re: st: heckman selection model in stata question***From:*Miguel Ampudia Fraile <mampudia@bu.edu>

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