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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. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Combining ivregress and heckman***From:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: Combining ivregress and heckman***From:*Barbara Engels <engels.ba@gmail.com>

**Re: st: Combining ivregress and heckman***From:*Austin Nichols <austinnichols@gmail.com>

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