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RE: st: selection equation Heckman


From   Jan Wynen <Jan.Wynen@kuleuven.be>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: selection equation Heckman
Date   Mon, 15 Oct 2012 13:42:07 +0000

Dear,

Thank you for the reply. But no it does not focus on this issue.

Best,

Jan



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lars Folkestad
Sent: maandag 15 oktober 2012 15:40
To: statalist@hsphsun2.harvard.edu
Cc: statalist@hsphsun2.harvard.edu
Subject: Re: st: selection equation Heckman

This probably does not help and your probably asking about something else but there was The longest discussion about heckman in the beginning of The month. Starting with:

http://www.stata.com/statalist/archive/2012-10/msg00187.html

Mvh
Lars Folkestad


Den 15/10/2012 kl. 15.31 skrev "Jan Wynen" <Jan.Wynen@kuleuven.be>:

> Dear all,
> 
> I am currently trying to estimate a Heckman model, whereby I have a selection equation which includes socio- demographic variables and a unique selection variable. The outcome equation also includes these socio- demographic variables (minus the selection variable) but also includes extra variables which are only visible if the selection equation equals one. According to Wooldridge (Econometric Analysis of Cross Section and Panel Data, 2nd ed. Cambridge: MIT Press.2010, Chapter 19, pp.803-806) the variables in the outcome equation should be a strict- subset of the ones in the selection equation. However, according to Verbeek (A guide to modern econometrics,  1st ed. Wiley.2000, Chapter 7, pp. 243) the inclusion of extra variables in the outcome equation is no problem, if they have a zero coefficient in the selection equation.
> 
> Is estimating a model as indicated above impossible using the Heckman procedure (will it lead to a problem with endogeneity)? Or is the inclusion of extra variables (not appearing in the selection equation) in the outcome equation OK, and if so does anybody have more references to literature saying this practice is OK? I have found an earlier post on this, however the references were wrong.
> 
> I have already posted this question two weeks ago, my apologies if this is regarded as being impatient.
> 
> Best and many thanks,
> 
> Jan
> 
> 
> 
> 
> 
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