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Re: st: RE: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)


From   "jean ries" <[email protected]>
To   [email protected]
Subject   Re: st: RE: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)
Date   Tue, 18 May 2004 23:06:42 +0200 (CEST)

> Thank you, David.
>
> My rho is far from 1, it is 0.18 if I run the model using the two-step
> procedure. But if I run it without it, it doesn't converge! Two
> questions:
>
> 1/ Is 0.18 "far" from 1, so that you would recommend that I don't use
> Heckman's two-step procedure?
>
> 2/ Do you know why the method using the ML function would not converge?
>
> I read somewhere that Heckman's two-step method yielded more efficient
> estimators... so I was more inclined to use the two-step procedure until
> you told me this. Do you know of a book or other source that might talk
> about this (ML vs two-step)?
>
> Thanks a lot.
> Adrian

As far as the last question is concerned:

Patrick Puhani (2000), The Heckman Correction for Sample Selection and Its
Critique, Journal of Economic Surveys, Volume 14, Issue 1, Page 53-68.

and possibly (I don't have the book at hand right now ... ):

Jeffrey Wooldridge (2001), Econometric Analysis of Cross Section and Panel
Data, MIT Press.

Good Luck!

Jean

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