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st: correct errors for the Heckman two-step method


From   "Robinson, Adina Barbulescu" <adina.barbulescu@utk.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: correct errors for the Heckman two-step method
Date   Tue, 30 Oct 2012 20:58:31 +0000

Hello, 

I currently control for selection bias with the Heckman two-step method. In the first step, I estimate the selection model (xtprobit) and obtain the inverse mills ratio. In the second step (and with a different file), I estimate the main model (xtreg) to which I add the inverse mills ratio obtained from the first step. For various reasons I cannot combine the two files (selection file and main model file) and use the heckman command. As a result, the standard errors I obtain are not the correct ones. Stata produces the correct standard errors following the heckman command, but I don't think this is the case here. 

Does anyone know how I can estimate the correct errors following the Heckman two-step method when the selection and the main model are in two datasets that cannot be combined? 
 
Many thanks!

Adina





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