Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: selection equation Heckman


From   urbain thierry YOGO <yogout@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: selection equation Heckman
Date   Tue, 30 Oct 2012 18:44:53 +0100

In the earlier version of the Wooldridge book you quoted(page 573,
Wooldridge, 2002), Wooldridge said that if variables in the outcome
equation are not strict subset of the ones in selected equation, the
inverse Mills ratio can be approximated well by a linear function of
variables (in the outcome equation). This could lead to a severe
collinearity among regressors and large standards errors. In the same
vein, if you add extra variable not included in the selection
equation, remember that these variables are not used to build the
inverse Mills ratio. Then if these variables could explain the
selection variable, that means you face an omitted variable bias in
the selection equation and consequently the selection bias could not
be corrected in appropriate way. Finally, doing so do you introduce a
kind of endogenous bias ? i am not sure. However Verbeek and
Wooldridge are both right.

2012/10/15, 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
>
>
>
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/
>


-- 
*Urbain Thierry YOGO
Ph.D candidate in Economics*
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index