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Re: st: Combining ivregress and heckman


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Combining ivregress and heckman
Date   Wed, 15 May 2013 13:54:08 +0200

Thanks for this comment. However, I am not sure I understood it correctly.
Say that I want to estimate 

y x xe
 
where y is the dependent, x and xe the independent variables, where xe are the independent variables presumed to be endogenous.

The Heckman two--step is described by

heckman y x xe (selection= x xe excl)

where excl are the exclusion restrictions and selection is some binary selection variable.

the IV would look something like

ivregress 2sls y x (xe=instrumentals).

Are you saying that I should use "instrumentals" instead of xe in the selection equation, then predict using predict select_xb, psel (=p_hat) and then just add psel to the instruments in ivregress, so that the latter becomes

ivregress 2sls y x (xe=instrumentals p_hat)?

I am not sure this is what you meant. thanks in advance?


On 15.05.2013, at 13:33, Austin Nichols wrote:

> Barbara Engels <engels.ba@gmail.com>:
> 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 <engels.ba@gmail.com> 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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