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Re: st: -gmm- heckman problem

From   Nick Cox <>
To   "" <>
Subject   Re: st: -gmm- heckman problem
Date   Tue, 18 Sep 2012 21:02:20 +0100

According to this, you define $mil, but don't use it, and try to use $mills, but don't define it. Otherwise put, what you are showing us appears to be incomplete at best, or even incorrect. Even if that's typos as far as you are concerned, nevertheless it's hard to figure out what you expect us to figure out if you don't show us code that should be expected to work.

Pedantry corner: Heckman is a
major figure, and Mills was a minor figure; either way their names get initial capitals.


On 18 Sep 2012, at 20:42, shetty sandeep <> wrote:

I am trying to estimate a heckman wage model using gmm. But I am facing a problem with the stata -gmm- command. I consistently get an error as "{ invalid name". The inverse mills ratio in the second stage moment condition seems to be the problem. My code is pasted below. It is likely that I may have some conceptual issues with gmm heckman. Any help is greatly appreciated.

global xb "{b1}*tage+{b2}*sqage+{b3}*child18+{b4}*marry+{b5}*faminc+ {b6}*famsize+{b7}*metro+{b8}*race+{b9}*firmsize+{b0}" //>0
global phi "normalden($xb)" //>0
global  Phi "normal($xb)" //>0
global mil "$phi/$Phi" //>0
global a1 "($phi/($Phi*(1-$Phi)))*(trad-$Phi)" // derivative of the selection likelihood
//eq 2
global xb2 "{beta1=0.02}*tage+{beta2=-0.0004}*sqage+{beta3=-0.007} *marry+{beta4}*metro+{beta5}*race+{beta6=1}*firmsize+{beta0=1}" // wage equation
gmm (eq1: $a1)(eq2: lwr1-$xb2-{gamma}*($phi/$Phi)), ///
instruments(eq1: tage sqage child18 marry faminc famsize metro race firmsize) /// instruments(eq2: tage sqage marry metro race firmsize $phi $Phi) winitial(identity)

I have also tried using $mills as an instrument in which case I get an error as "numlist in operator invalid". I figured out that the division operator "/ " in instruments option of gmm is reserved for lags.
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