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st: test for normality in heckman

From   Manchin Miriam <[email protected]>
To   [email protected]
Subject   st: test for normality in heckman
Date   Fri, 17 Oct 2003 17:02:27 +0200 (CEST)

Dear Statalist,
I am trying to run a Heckman selection model. I tried both the maximum-
likelihood method and the two-step estimator and they produced very 
different results, moreover the rho=1 with the two-step method. I 
suspected that it might be because my data did not support joint 
normality. So I estimated again the model including the square and the 
cube of some of my variables and tested the joint significance of these 
variables which was accepted. I am a bit blocked now, is there any way 
to verify the joint normality? And if it is rejected is there any method to 
overcome this problem?
Thanks for your help,

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