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From |
"J. Boreham" <jb648@cam.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Using a Tobit regression with the Heckman correction |

Date |
17 Dec 2011 22:17:15 +0000 |

Thanks for your prompt response, and for the clarification.

Thanks again for your time, John On Dec 17 2011, Tirthankar Chakravarty wrote:

I think you might be mixing up a few things here. Both -heckman- and -tobit- fit Tobit (censored regression) models, i.e., where the outcome of interest is not fully observed in the sample. They differ in what they posit the censoring mechanism to be. 1) The model fitted by -tobit- is what is called the Type I tobit. Here the observability of the outcome depends on the values of the outcome itself - whether it crosses a non-stochastic threshold. 2) The model fitted by -heckman- is what is called the Type II tobit. Here the observability of the outcome (your "fee" variable) depends on the values of a binary indicator (probably what your "transferred" variable refers to), which is modelled using a probit regression. Conditional on the values of the binary indicator the second stage is a simple linear regression fitted by OLS - where the conditionality is taken into account using the Mills ratio. There is also the possibility of fitting the whole model in one go using partial maximum likelihood, but the important point is that the conditional model for the outcome is a linear regression, and in the two-step version of Heckman's estimator, the outcome is fitted using OLS. Lastly, note that OLS is an estimation technique and tobit is a model. T On Sat, Dec 17, 2011 at 1:16 PM, J. Boreham <jb648@cam.ac.uk> wrote:Dear Statalist,I'm very new to Stata, so apologise if this is a silly question. I'mlooking to run a Tobit regression using the Heckman correction. MyHeckman 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 tocreate the two stage Heckman correction by first manually producing theinverse 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/denominatortobit fee age agesq curr_app curr_goal_d curr_goal_m curr_goal_fmills_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 * * 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/

**Follow-Ups**:**Re: st: Using a Tobit regression with the Heckman correction***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**References**:**st: Using a Tobit regression with the Heckman correction***From:*"J. Boreham" <jb648@cam.ac.uk>

**Re: st: Using a Tobit regression with the Heckman correction***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

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