Re: st: heckman selection model in stata question

[Miguel Ampudia Fraile <mampudia@bu.edu>]

Thank you very much Marteen, that is a very clear explanation. The
only thing is that when I use xb(select) Stata tells me 'equation
slect not found'. When I use xb(stock), it will run and give me a
result. It maybe something related to the stata version I am using. I
am using stata 11.

And thank you for resending the message to the list. I would take care
of the issue (although I thought I already was).

Best,

Miguel

On Mon, Nov 28, 2011 at 3:27 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
>
> 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
> --------------------------
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