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st: Significance of adjusted Heckman estimates


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Significance of adjusted Heckman estimates
Date   Fri, 10 May 2013 11:51:34 +0200

Dear Statalisters,

I am estimating a two-step Heckman selection model (using Stata 10). The adjusted coefficients are calculated according to 

heckman  dep  indep, twostep select(select=indep exlcusionrestriction) mills(mills)

predict select_xb, psel

gen delta = mills*(mills + select_xb)

 gen b_indep1 = [dep]_b[indep1] - ([blfp]_b[indep1]*e(rho)*e(sigma)*delta)

 ci b_indep1

However, I don't know if this adjusted coefficient is statistically significant . indep1 appears both in the regression and in the seleciton equation, being significant in the regression and insignificant in the selection equation. 


How can I tell if the adjusted coefficient on indep1 is statistically significant?


Any help is greatly appreciated!

Cheers, 

Barbara



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