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st: RE: covariance of error terms in heckman selection model


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: covariance of error terms in heckman selection model
Date   Wed, 18 Jan 2006 22:21:28 -0600

The Heckman model assumes that 

e1 ~ N(0, sigma)
e2 ~ N(0, 1)

See, [R]A-J Heckman, page 452.

Scott

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Jelena Zurovac
> Sent: Wednesday, January 18, 2006 9:35 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: covariance of error terms in heckman selection model
> 
> 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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