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Re: st: predicted probabilities heckman and probit models

From   Fabrizio Gilardi <[email protected]>
To   [email protected]
Subject   Re: st: predicted probabilities heckman and probit models
Date   Thu, 2 Oct 2003 18:38:56 +0200

Thank you Brian, it worked fine.


On 2003-09-30 Fabrizio Gilardi ([email protected]) wrote:

 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.

The problem is that Fabrizio forgot to specify the correct option
with -predict-.  By default, -predict- after -heckman- calculates
the linear prediction of the regression equation.  Thus, his "pse1"
variable contains the linear predictions.  To have the variable "pse1"
contain the probability of being selected, Fabrizio would need to type

   . predict pse1, psel

(Note that the last character of the option is a lowercase el, not
the number one.)

Here is a quick example to verify that:

   . webuse womenwk, clear
   . heckman wage educ age, select(married children educ age) twostep
   . predict pse1, psel

   . gen wagehere = (wage < .)
   . probit wagehere married children educ age
   . predict phat, p

   . summ phat pse1

    Variable |       Obs        Mean    Std. Dev.       Min        Max
        phat |      2000    .6712325    .2194172   .1171614   .9991774
        pse1 |      2000    .6712325    .2194172   .1171614   .9991774

   -- Brian
      [email protected]

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Fabrizio Gilardi
Institut d'Etudes Politiques et Internationales
Universit´┐Ż de Lausanne - BFSH2

Bureau 5123
Phone: +41 21 692 31 48
Fax: +41 21 692 31 45
E-mail: [email protected]

*   For searches and help try:

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