st: covariance of error terms in heckman selection model

[Jelena Zurovac <jzurovac@u.washington.edu>]

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

Jelena





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