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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Combining ivregress and heckman |

Date |
Thu, 16 May 2013 14:00:37 -0400 |

Barbara Engels <engels.ba@gmail.com>: Sounds like no instruments at all. Are you saying you are instrumenting for weeks unemployed and weeks employed for those who worked at some point during the year with "year-to-year variation of" weeks unemployed and weeks employed? Makes no sense to me. On Thu, May 16, 2013 at 1:49 PM, Barbara Engels <engels.ba@gmail.com> wrote: > my instruments are year-to-year variation of the endogenous variables, alongside a handful of exogenous RHS variables from the original regression. > > > On 16.05.2013, at 19:44, Austin Nichols wrote: > >> 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. >> >> * >> * 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/ * * 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:*Barbara Engels <engels.ba@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>

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

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

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

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

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

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