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Re: st: 3sls, selection


From   "joe jacob" <otharain@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 3sls, selection
Date   Tue, 09 Sep 2003 06:58:32 +0000

chris and others,

I should apologise for not describing the variables as I thought that might make things more complicated.

I have an establishment level data set (100000 plus observatiosn)
The key equation of interest is
ird= expint+ irdvcus+ irovcus+ skill+ outs+gov+ forg /*Eqn 1.*/ where, IRD captures leraning efforts from embodied R&D(dervided from sectoral R&D stock of OECD countries and distributed across establishments) EXPINT
*expdum ird irdvcus irovcus wager skill3 outs ltlnou gov forg /*Eqn 1.*/
*expint ird irdvcus irovcus wager skill3 ltlnou size2 forg /*Eqn 2.*/





From: Chris Rohlfs <car@uchicago.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: 3sls, selection
Date: Mon, 8 Sep 2003 15:36:58 -0500 (CDT)

jacob,

could you please describe the variables you're looking at ?

chris

On Mon, 8 Sep 2003, joe jacob wrote:

> Dear all,
>
> This is my first mail to statalist and this mail is made after days of
> learning from the discussions in the listserver.
>
> I have a two-equation system to estimate.
>
> Eq. (1) y1 = y2 + x1 + x2 +x3+x4+ u
> Eq. (2) y2 = y1 + x1 + x2+v,
>
> with the endogenous variables y1 and y2 (both continuous) appearing in the
> RHS of both equations. Thus a simultaneous equation is of course the right
> way to proceed.
>
> But variable y1 needs to be corrected for the Selection hazard using the
> Heckman procedure. This is because some observations are zero due to 'self
> selection'. Thus we have a selection equation involving the variables (y2,
> x1, x2 ,x3,x4,x5).
>
> One approach I could think of is to calculate the IMR from heckman
> estimation of equation 1, plugging it back in the same equation and running
> a 3sls estimation involving equations 1 and 2. BUT I think that does not
> make much sense because IMR is calculated from two equations (Eqn 1 and the
> selection equation) that has an endogenous explanatory variable (y2).
>
> My question is how could I take care of these two problems. 1. The
> endogeneity (simultaneity) of y1 and y2 , 2.the selection bias pertaining to
> variable y1.
>
> Thanks in advance for your kind suggestions.
>
> Sincerely,
>
> Itty Jacob
>
> PS: My apologies for any wrong terminology.
>
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