More comments:
1) xtfevd (from http://www.polsci.org/pluemper) estimates a three stage panel fixed effects vector decompostion model that allows for the inclusion of time-invariant variables and efficiently estimates almost time-invariant explanatory variables within a panel fixed effects framework
2) it's quite long, but you can have something like -xtheckman- by using -xtlogit- and taking the results as inputs to -gllamm- (from ssc), then you calculate predictions with -gllapred- (same package), and finally you use them as weights in -xtregre2- (from ssc). [The use of -gllamm- is necessary because predictions from -xtlogit- assume u_i=0; the use of -xtlogit- is preferable because -glamm- may be quite slow]
Nicola
At 02.33 15/08/2007 -0400, Rosa Sanchis-Guarner wrote:
>Hi!
>I am running a migration equations with data for 15 years. I have 2162
>flows (which I consider the individuals), for every year. I did a FE
>estimation, but as I am highly interested on the time-invariant
>variables, I also estimated using OLS and clustering the s.e. by
>individual. My problem is that I have some zero flows, and the
>equation is estimated in logs, so when I do the OLS I just drop them.
>I don't have many, but one option is to use a Heckman model to control
>for the zeros in the first step and to explain the flows in the
>second.
>How can I combine the panel structure with the heckman model?
>I have two options:
>- - do a FE estimation (with the desadvantage that I lose the info on
>the time-invariant variables, very important in my model)
>- - do OLS with clustered s.e.
>
>I have been thinking that actually Heckman two-step just includes the
>inverse mill-ratio in the second step, so I could actually calculate
>it and include it in a OLS with cluster s.e. Does this make sense? How
>would I do it in the FE estimation?
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