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st: predicted probabilities heckman and probit models

From   Fabrizio Gilardi <>
Subject   st: predicted probabilities heckman and probit models
Date   Tue, 30 Sep 2003 19:38:08 +0200


I've run a heckman selection model with the two step procedure and asked Stata to compute predicted probabilities of selection:

heckman y1 x1, select(x2) twostep
predict pse1

Then I've run a probit with the same independent variables as in the selection stage of the heckman. The dependent variable is 1 if the outcome is observed in the heckman and 0 otherwise. Then I ask Stata to compute the predicted probabilities of a positive outcome:

probit y2 x2
predict p

The problem is that when I compare pse1 and p, it turns out that they are quite different. p>pse1 for 80 percent of the observations. I don't understand why.

Does this make any sense, or am I doing something wrong?

Many thanks in advance,



Fabrizio Gilardi
Institut d'Etudes Politiques et Internationales
Université de Lausanne - BFSH2

Bureau 5123
Phone: +41 21 692 31 48
Fax: +41 21 692 31 45

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