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, is already up and running.

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

Re: st: Combining ivregress and heckman

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

Barbara Engels <>:
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 <> 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 (, but didn't quite understand how to perform the combined "ivheckman" after all.
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index