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From |
Miguel Ampudia Fraile <mampudia@bu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: heckman selection model in stata question |

Date |
Mon, 28 Nov 2011 09:03:24 -0500 |

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 > -------------------------- > * > * 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: heckman selection model in stata question***From:*Maarten Buis <maartenlbuis@gmail.com>

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