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st: RE: Heckmanregression and Oaxaca dcomposition

From   "Jann, Ben" <[email protected]>
To   <[email protected]>
Subject   st: RE: Heckmanregression and Oaxaca dcomposition
Date   Wed, 4 Feb 2004 10:21:35 +0100

GG wrote:
> I am trying to do a oaxaca decomposition after a 
> Heckment selection regression. When using the 
> DECOMPOSE or DECOMP codes, I received an error 
> message when I want to do the decomposition.

The problem is that the two programs do not explicitly support
multi-equation models. However, you may apply the decomposition to
heckman models if the regression equation is estimated seperately:

1. Use the two-step method to estimate the model and save the inverse
mills-ratio (lambda).
2. Use OLS to reestimate the regression equation including lambda and
save the model.

Example: regression of wages (w) on education (e) and experience (x and
x2) by sex (1=female, 2=male); standard model for male, heckman model
for female

 . heckman w e x x2  if sex==1, select(...) twostep mills(lambda)
 . regress w e x x2 lambda if sex==1
 . decompose, save(low)
 . regress w e x x2 if sex==2
 . decompose, save(high)
 . decompose, lambda(lbda)

I am planing to update -decompose- to Stata 8 and add support for
multi-equation models (and fix a couple of bugs [and probably add some
new ones...]). It might take a while, however.


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