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From |
shetty sandeep <getsane@hotmail.com> |

To |
stata users <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: -gmm- Heckman problem |

Date |
Wed, 19 Sep 2012 02:42:58 +0530 |

Hello Nick, I am sorry about not using the initial capitals for proper nouns. I will keep that in mind. The $mills in the previous email is a typo only in the email and not in the code. In the code it is $mil - this I define. I am pasting the full code again. When I run the code (pasted below) I get some errors. I describe them below. --------------------- *Main code global xb "{b1}*tage+{b2}*sqage+{b3}*child_less_18+{b4}*marry+{b5}*faminc+{b6}*efnp+{b7}*metro+{b8}*race+{b9}*firmsize+{b0}" global phi "normalden($xb)" global Phi "normal($xb)" global mil "$phi/$Phi" // calculating the Inverse Mills ratio global a1 "($phi/($Phi*(1-$Phi)))*(trad-$Phi)" // derivative of the selection likelihood. Here trad is the dummy for observed log(wage) //eq 2 global xb2 "{beta1}*tage+{beta2}*sqage+{beta3}*marry+{beta4}*metro+{beta5}*race+{beta6}*firmsize+{beta0}" // wage equation //First gmm command gmm (eq1:$a1)(eq2:lnwage-$xb2-{gamma}*($phi/$Phi)), /// instruments(eq1: tage sqage child_less_18 marry faminc efnp metro race firmsize) /// instruments(eq2: tage sqage marry metro race firmsize $mil) winitial(identity) ------------------------ When I run the above gmm command where instruments for the second equation includes $mil, I get the following error normalden({b1}*tage+{b2}*sqage+{b3}*rfoklt18+{b4}*marry+{b5}*faminc+{b6}*efnp+{b7}*metro+{b8}*r > ace+{b9}*firmsize+{b0})/normal numlist in operator invalid I have checked the other parts of the code and this error is mainly to do with the $mil as an instrument in the gmm command. Secondly, When I run the gmm code replacing $mil with $phi and $Phi as instruments as below gmm (eq1:$a1)(eq2:lnwage-$xb2-{gamma}*($phi/$Phi)), /// instruments(eq1: tage sqage rfoklt18 marry faminc efnp metro race firmsize) /// instruments(eq2: tage sqage marry metro race firmsize $phi $Phi) winitial(identity) I get the following error as "{ Invalid name" I would like to know why is this the case and how should I specify the Inverse Mills ratio ($mil) as an instrument in the -gmm- command? Thank you for any help. ---------------------------------------- > From: njcoxstata@gmail.com > To: statalist@hsphsun2.harvard.edu > 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 > $mills, but don't define it. Otherwise put, what you are showing us > appears to be incomplete at best, or even incorrect. Even if that's > typos as far as you are concerned, nevertheless it's hard to figure > out what you expect us to figure out if you don't show us code that > should be expected to work. > > Pedantry corner: Heckman is a > major figure, and Mills was a minor figure; either way their names get > initial capitals. > > Nick > > > > On 18 Sep 2012, at 20:42, shetty sandeep <getsane@hotmail.com> wrote: > > >> I am trying to estimate a heckman wage model using gmm. But I am >> facing a problem with the stata -gmm- command. I consistently get an >> error as "{ invalid name". The inverse mills ratio in the second >> stage moment condition seems to be the problem. My code is pasted >> below. It is likely that I may have some conceptual issues with gmm >> heckman. Any help is greatly appreciated. >> >> ~~~~~~~~~~~~code~~~~~~~~~~ >> global xb "{b1}*tage+{b2}*sqage+{b3}*child18+{b4}*marry+{b5}*faminc+ >> {b6}*famsize+{b7}*metro+{b8}*race+{b9}*firmsize+{b0}" //>0 >> global phi "normalden($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. > * > * 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: -gmm- Heckman problem***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: -gmm- heckman problem***From:*shetty sandeep <getsane@hotmail.com>

**Re: st: -gmm- heckman problem***From:*Nick Cox <njcoxstata@gmail.com>

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