[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Rashid Memon <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Heckman & simultaneous Equations procedures (?) |

Date |
Tue, 28 Dec 2004 14:47:56 +0000 (GMT) |

Dear Renzo Many thanks for this. I agree with you on not using reg3. I do not indeed want to use a linear probability method. The confusion emanated from the fact that I had not appreciated the closeness of your method with reg3. I see your logic now. Also, you are right in that the first step includes estimating the Probit on regressors from both the migration and the wage equations. I had done exactly that, but missed it when writing the mail. Where I did go wrong was that I did not estimate the mills ratio separately for the two equations. But now that I do, the sign of the wage difference in the migration equation is counter intuitive. :( I guess I will have to go back to my references..... Rashid p.s. My apologies for misspelling your name in my earlier mail. ----- Original Message ----- From: "Renzo Comolli" <[email protected]> To: <[email protected]> Sent: Monday, December 27, 2004 4:17 PM Subject: Re: st: Heckman & simultaneous Equations procedures (?) > Dear Rashid: > > The reason why we are going through this procedure rather than using -reg3- > is that migration/not-migration is a zero-one decision. It is probably > possible to use -reg3- (but you should check for other issues) if you were > prepared to use a linear probability model for the migration/non-migration > step. That is to say, if you use -reg3- it is possible that the predicted > probability of migration is either higher than one or smaller than zero. > That's why usually people don't use -reg3- for this type of problems. The > procedure that I referred to is "close in spirit" to -reg3-. Rather than > describing here the whole thing myself (that would take several pages) I > refer you to one or more of the following references. > > Greene "Econometrics Analysis". The section is called "treatment effect". If > you have the 5th edition it is at page 787, but I suggest you read the > chapter on limited dependent variables from the beginning. I you read the > whole chapter the logic will be pretty clear and you should be pretty clear > on how comes that the endogeneity of the wage differential is taken care of. > Greene stops short of the final step though. > > Maddala "Limited-dependent and qualitative variables in econometrics" > explains the procedure under the heading "Lee's binary choice model". Note > though that, for historical reasons, equation 11.20 is set up with a > negative sign in front of the error; this might confuse you because it > switches the signs of the inverse mills ratios. Also the fact that there is > a typo in formula 11.23 does not help (the typo is that the minus in front > of sigma2epsilon* should be a plus) > > The original references are > Lee, Lung-Fei (1978) "Unionism and Wage Rates: A Simultaneous Equations > Model with Qualitative and Limited Dependent Variables", International > Economic Review, Vol. 19(2), pp. 415-433 > Lee, Lung-Fei (1979) "Identification and Estimation in Binary Choice Models > with Limited (Censored) Dependent Variables", Econometrica, Vol. 47, > pp.415-433. > > I want to point out that the first step as you describe it here is NOT > correct. The correct first step involves estimating a probit of migration on > the migration regressors AND THE WAGE EQUATIONS REGRESSORS (but not the > wages per se). You see now how this procedure is closer in spirit to -reg3- > Also be sure that in step two you compute the right inverse mills ration > (each equation has its own) > > I gave a sketch of the code here > http://www.stata.com/statalist/archive/2004-11/msg00622.html > http://www.stata.com/statalist/archive/2004-11/msg00626.html > but this sketch presupposes you have a knowledge of the material and you > just want to see the code. > > You could also use the command -movestay- that does full-information maximum > likelihood, but as I point out here > http://www.stata.com/statalist/archive/2004-11/msg00453.html > there is a bug in the code for -mspredict-. If the bug were fixed, you could > use -movestay- to estimate the reduced form migration equation and the two > wage equation, then use -mspredict- to predict the wage in two regimes and > could then estimate the structural form probit. > But I received no confirmation that the way that I have proposed to correct > the bug is right, so I don't suggest you rely on this procedure. > To learn about -movestay- M. Lokshin and Z. Sajaia "Maximum likelihood > estimation of endogenous switching regression models" Stata Journal > 4(3):282--289 > > Best, > Renzo Comolli > > > -------------------------------------------------------------------------- -- > ---- > *From Rashid Memon <[email protected]> > To [email protected] > Subject st: Heckman & simultaneous Equations procedures (?) > Date Mon, 27 Dec 2004 13:39:55 +0000 (GMT) > > -------------------------------------------------------------------------- -- > ---- > > Dear All > > > > I am looking at the effect of the rural-urban wage > differential on > rural-urban migration. I am following the methodology > Renzo Conelli posted > some time ago: > > > > I first estimate the probit (migration on its > dependent variables except the > wage differential). > > > > Calculate the inverse mills ratio and then plug it in > the wage equations. > > > > Estimate the wage equations and get predicted values > to calculate the wage > differential > > > > Plug in the wage differential in the migration Probit > again. > > > > > > My concern is this: Since the wage differential is > endogenous, should'nt a > simultaneous equation procedure be used. I am a bit > confused on how to > combine a ML methodology (probit) with a simultaneous > equation procedure > (say, reg3) > > > > Any assistance will be appreciated. > > > > Thanks > > > > Rashid > > > > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > ___________________________________________________________ ALL-NEW Yahoo! Messenger - all new features - even more fun! http://uk.messenger.yahoo.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: 3 dimensional graphs** - Next by Date:
**st: How to use [metan] for theta & se(theta)?** - Previous by thread:
**Re: st: Heckman & simultaneous Equations procedures (?)** - Next by thread:
**st: Page breaks in .smcl logs** - Index(es):

© Copyright 1996–2024 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |