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

From   "Dawit Lidia" <[email protected]>
To   [email protected]
Subject   RE: st: RE: Estimating a Heckman model for a panel dataset
Date   Thu, 20 Jan 2005 19:21:48 +0000

I didn't see a problem with your procedure. The only thing that you should do is that to correct the standard erros in the seond stage by bootstrapping both regressions (probit and reg) simulatneously. For further reference please Wooldridge (2002). Hope you know this book.

Good luck.

From: "jyotsna puri" <[email protected]>
Reply-To: [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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