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Re: st: Combining ivregress and heckman


From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: Combining ivregress and heckman
Date   Wed, 15 May 2013 07:33:49 -0400

Barbara Engels <[email protected]>:
There are some bad suggestions in that thread, IMHO.  You can use
-ivregress- or -ivreg2- (SSC) to correct for bias of several
varieties; excluded instruments used in the selection equation can be
used in a first stage probit, then predict to make a new generated
instrument to accompany your other excluded instruments.  I.e. use
predicted probability of y1, call it p_hat, as an instrument for y1 at
the same time you use z as an instrument for x.

On Wed, May 15, 2013 at 5:33 AM, Barbara Engels <[email protected]> wrote:
> Dear Statalist users,
>
> I want to estimate a  model that accounts both for  sample selection like Heckman Two-Step, and endogeneity like ivregress.
> The dependent variable is continuous. The variables to be instrumented appear both in the normal regression and in the selection equation in the Heckman model.
> I found some hints on Statalist (http://www.stata.com/statalist/archive/2009-08/msg00219.html), but didn't quite understand how to perform the combined "ivheckman" after all.
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