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st: Heckman on panels

From   hwiig <[email protected]>
To   [email protected]
Subject   st: Heckman on panels
Date   Wed, 20 Oct 2004 09:52:32 +0200

Hello again everyone! No reply yet on my question I posted yesterday, I just need to know whether its because (i) There is a technical error somewhere, and the question never reaches you? (ii) Nobody knows the answer or (ii) the question is so "stupid" that nobody bothers to answer. Anyway, I try again:


I got a panel data set of some small scale farmers in developing countries. Some sell volume X at individual price P, some don't sell at all. The control variables vector Z for all farmers is available.

Heckmans method controls for self selection by (i) estimating a probit for sell / no sell (ii) introducing the resulting Mills ratio in the sales equation before running a normal OLS (on the households that do sell their product).

I got information from two years, so I wonder whether there exist some kind of Stata procedure to correct for estimated individual effects (either fixed or random).

The Stata command "xtprobit" does exactly this for a isolated first step, so

(1) How do I introduce xtprobit in the first stage of the Heckman in order to correct for individual (unobserved) differences in choosing to sell or not?

(2) How do I introduce individual differences the sales function (second step) of the Heckman model (i.e. also individual unobserved differences in sales volume for the farmers who do sell)?

Anyone out there who knows how to solve this? I would most appreciate your help!

Henrik Wiig
Department of Economics
University of Oslo
PO Box 1095 Blindern, N-0317 Oslo, Norway
Eilert Sundts hus, 12th floor, Moltke Moes vei 31
Telephone: 22 85 51 35
Fax: 22 85 50 35
E-mail: [email protected]
Private telephone: 22 55 24 84
Mobile telephone: 47 75 75 09

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