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st: Variables in the different stage of heckman models


From   "L.M.A. Mulotte" <L.Mulotte@uvt.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Variables in the different stage of heckman models
Date   Mon, 25 Jun 2012 16:06:27 +0000

Dear All, 

I have a question on the variables that we have to enter in the different stages of two-stage treatment effect models (Heckman models).

I understand that, in two-stage treatment effect models (Heckman models), the covariates in the second-stage model (x) must be a strict subset of the first-stage covariates (z). In addition, the first-stage model must include at least one instrument that is not in the second stage. Wooldridge writes (Introductory Economics, page 620, 3rd Edition): "Any element that appears as an explanatory variable in [the main equation] should also be an explanatory variable in the selection equation." 

However, he adds that "Although in rare cases it makes sense to exclude elements from the selection equation, including all elements of x in z is not very costly; excluding them can lead to inconsistency if they are incorrectly excluded"

Here are my questions: 

1) Has anyone an idea of these rare cases ? Does STATA provide a test for that ? 
2) Is a good theoretical reason a valid reason to exclude an explanatory variable from the selection equation? 

Thank you for your consideration

Best regards, 

Louis

*****************************************************************************
Louis Mulotte
Assistant Professor
Organization and Strategy 
 
Tilburg University
School of Economics and Management
PO Box 90153 - 5000 LE - Tilburg - The Netherlands Room K1123 / Email: l.mulotte@tilburguniversity.edu / Phone: +31 13 466 8706
*****************************************************************************



*****************************************************************************
Louis Mulotte
Assistant Professor
Organization and Strategy 
 
Tilburg University
School of Economics and Management
PO Box 90153 - 5000 LE - Tilburg - The Netherlands
Room K1123 / Email: l.mulotte@tilburguniversity.edu / Phone: +31 13 466 8706
*****************************************************************************



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