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Re: st: Combining ivregress and heckman


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Combining ivregress and heckman
Date   Thu, 16 May 2013 13:44:43 -0400

Barbara Engels <engels.ba@gmail.com>:
So you have a whole list of endogenous RHS variables? What are your instruments?

On Wed, May 15, 2013 at 8:28 AM, Barbara Engels <engels.ba@gmail.com> wrote:
> it's a standard wage equation. the independent, presumably endogenous variables are employment status shares, i.e. for example the share of months that an individual worked full-time during a year, the share of months that it was unemployed etc. ... . Hence I have observations on x and xe for both observed and missing wages. My selection dummy is "labor force participation" which I define as being =1 if the hours worked are positive and =0 for zero hours worked. I assume that the employment status variables are correlated with the error term since I assume that they are correlated with unobserved individual (fixed) effects.
>
>
>
> On 15.05.2013, at 14:19, Austin Nichols wrote:
>
>> Barbara Engels <engels.ba@gmail.com>:
>>
>> Do you have observations on x and xe for the observed and missing y?
>> E.g. are you worried about selection into the labor market, and your
>> data has workers and nonworkers?  Can you specify what the selection
>> process is, and what the nature of the endogeneity in xe is?
>>
>>
>> On Wed, May 15, 2013 at 7:54 AM, Barbara Engels <engels.ba@gmail.com> wrote:
>>> 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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