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Re: st: Heckman Procedure


From   Sergiy Radyakin <serjradyakin@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Heckman Procedure
Date   Mon, 10 Jun 2013 22:27:04 -0400

Annie, Stata is doing the right thing as your variable fa is bringing
no additional explanatory power to the model since it is a linear
combination of your variable age sex and logfum from the first stage,
and thus the separate effect of it can't be identified. Recall that
the coefficient on a variable is the effect of change of that var
holding all other constant (ceteris paribus). Can your fa change when
age,sex, and logfum are fixed? Did you forget perhaps something like
an instrument? Best, Sergiy

On Mon, Jun 10, 2013 at 10:05 PM, Annie Zhang
<annieclairezhang@gmail.com> wrote:
> Hi there,
>
> When using the heckman procedure I want to use the independent
> variable in the first stage as well as make it a dependent variable in
> the selection model, however stata will drop the variable due to
> collinearity each time.
>
> How can I use the heckman procedure in this case?
>
> My model is
>
>
> heckman cash fa age sex logfum, select(fa=age sex logfum) twostep
>
> And the 'fa' variable keeps dropping.
>
> Thanks for your help!
>
> Kind Regards,
> Annie
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