Hi, I would greatly appreciate any input on my question.
Consider a simple selection model:
Q = aX + e1
M* = bx + cz + e2
It is estimated in Stata using the 'heckman' command. The parameters that are
estimated are:
sigma=st.deviation(e1)
rho=corr(e1,e2)
and
lambda=rho*sigma.
I am interested in the cov(e1,e2), which can be computed only if we have the
standard deviation of e2. Stata does not report it and it isn't saved in e(). Is there a good way around it?
Thank you very much,
Jelena Zurovac
Graduate Student
University of Washington, Seattle
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