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Re: st: Significance of adjusted Heckman estimates


From   "Ghotbi, Sina" <Sina.Ghotbi@sauder.ubc.ca>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Significance of adjusted Heckman estimates
Date   Fri, 10 May 2013 15:11:47 +0000

Dear Barbara,

I have worked with Heckman models, but I am not sure if I fully understand your concern.

As far as I know, when you run a Heckman model in the idea world, the coefficient reported in the second stage (not selection) are already 'adjusted' for selection bias, and the standard errors are already reported as well.

Let me know if I am missing the point of your question.
cheers,
Sina

On 2013-05-10, at 2:51 AM, Barbara Engels wrote:

> 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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