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st: Using a Tobit regression with the Heckman correction


From   "J. Boreham" <jb648@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Using a Tobit regression with the Heckman correction
Date   17 Dec 2011 21:16:18 +0000

Dear Statalist,

I'm very new to Stata, so apologise if this is a silly question. I'm looking to run a Tobit regression using the Heckman correction. My Heckman code is:

***** heckman fee age agesq curr_app curr_goal_d curr_goal_m curr_goal_f, /// select(transferred = age agesq curr_app curr_goal_d curr_goal_m curr_goal_f prom) twostep *****

But this uses OLS rather than a Tobit model. I instead attempted to create the two stage Heckman correction by first manually producing the inverse Mills ratio, and then running a Tobit regression:

***** probit transferred age agesq curr_app curr_goal_d curr_goal_m curr_goal_f prom

predict predicted_values, xb

generate denominator = normal(predicted_values)
generate numerator = normalden(predicted_values)
generate mills_ratio = numerator/denominator

tobit fee age agesq curr_app curr_goal_d curr_goal_m curr_goal_f mills_ratio
*****

However, this will not account for the non-standard errors one needs when using the Heckman correction.

So is it possible either to tell Stata to use a Tobit regression with the "heckman" command, or instead to get the correct standard errors when manually doing the correction by inserting the inverse Mills ratio?


Thanks for your consideration,

John Boreham
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