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From |
Barbara Engels <engels.ba@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Combining ivregress and heckman |

Date |
Thu, 16 May 2013 20:07:26 +0200 |

Well, actually, yes, I am trying to instrument the share of employment time and the share of unemployment time with the year-to-year change (in Stata: d.) of these shares. Which transformation would you suggest - assuming there are no "better" instruments than transformations? On 16.05.2013, at 20:00, Austin Nichols wrote: > 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/ * * 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>

**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>

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

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