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st: rho and wald test in heckman

From   "Katarina Lynch" <[email protected]>
To   [email protected]
Subject   st: rho and wald test in heckman
Date   Thu, 25 Nov 2004 18:09:54 +0000

In Heckman ML estimation how do I decide if there is a selection bias? On the one hand, rho(the correlation between two equations) is non-zero, even close to .95. On on the other hand, the Wald test at the bottom of the table cannot reject the null hypothesis of independent equations. I have found a power point presentation about heckman in STATA which sais that rho not equal to zero is enough to infer that there is selection bias. If instead of ML I do twostep, the IMR is insignificant, although there is nonzero correlation between the outcome and selection equations. I am confused. Would anyone spare a time to answer this simple question?

Thank you!


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