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st: RE: Estimating a Heckman model for a panel dataset

From   "jyotsna puri" <[email protected]>
To   [email protected]
Subject   st: RE: Estimating a Heckman model for a panel dataset
Date   Thu, 20 Jan 2005 12:52:01 +0000

Dear Listers,

I was wondering if you could help me out. I would
appreciate any thoughts.

I have a panel dataset. I would like to estimate a
heckman model. The regular heckman command in STATA
ofcourse  estimates a pooled model. I would like to correct that.

These are the steps I have thought of:

1. Estimate the selection equation via xtprobit
2. Get estimates on the mills ratio.
3. Use the mills ratio as an 'explanatory variable' in the response
equation where only the truncated dependent variable is considered,
i.e. estimate this equation for selection =1. This
is estimated via xtreg, re etc. with the hausman test to check
for specification.

Is this a correct way of thinking about it? If yes, I would ofcourse
have to account for the inter-equation correlation between the
error terms and estimate the standard errors accordingly.
I have not started to do this, so I am not sure how hard this last
step is.

Thank you for all and any clues!

Jyotsna (Jo) Puri
Cell and Voicemail: 201-805-1690
[email protected]
Doctoral Candidate, Department of Agriculture and Resource Economics,
University of Maryland, College Park, MD
I ran the Marine Corp Marathon to help educate.

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