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st: RE: no convergence after tsset

From   "Maarten Buis" <>
To   <>
Subject   st: RE: no convergence after tsset
Date   Mon, 9 Oct 2006 14:26:37 +0200

You seem to be using the same variables in the selection 
equation as in the wage equation. In that case 
identification is solely based on the non-linear effect 
of the variables on the probability of being selected. 
However if most respondents have a probability of being 
selected somewhere between 20 and 80%, than this effect 
is approximately linear, so identification breaks down 
and weird things like this can happen. Something similar 
came up earlier today, see:

Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

--- Laura Seelkopf wrote:
> I am having a problem with a heckman selection model for panel data. First
> stata 9 estimated it without problems after 34 iterations
>        heckman y x x x, select (y=x x x)
> but then I needed to
>         tsset
> my data in order to create a lagged variable. After this, the same heckman
> command as above did not work out anymore
>        (no convergence achieved).
> I am wondering now, why this is the case and if/how it influences my
> estimation of the heckman model, because after I typed
>        sort year
> the model could again be estimated.


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