Re: st: -gmm- heckman problem

[Nick Cox <njcoxstata@gmail.com>]

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.

Nick



On 18 Sep 2012, at 20:42, shetty sandeep <getsane@hotmail.com> 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.
>
> ~~~~~~~~~~~~code~~~~~~~~~~
> 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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