Re: st: estimating the covariance matrix of probit two stage procedure

 From Maarten buis To statalist@hsphsun2.harvard.edu Subject Re: st: estimating the covariance matrix of probit two stage procedure Date Mon, 24 Dec 2007 09:24:35 +0000 (GMT)

--- "Armelini, Guillermo" <DOCGArmelini@iese.edu> wrote:
> I'm trying to estimate a recursive simultaneous equation using a
> probit model in the selection stage and a conditional censored
> regression in the second stage. Specifically, the model is the
> following one:
>
> Z(i)=AV(i)+U(i) (equation 1)
>
>  Z(i)=1 if Z(i)>0
>
>  Z(i)=0 if Z(i)<=0
>
> where A is a vector of parametes and V is a set of covariates for
> each (i)
>
> Then I calculate Lambda which is the inverse mills of the predicted
> values of equation one for those observations in which the Dependent
> Variable is equal to 1
>
> The second step is to calculate the tobin model:
>
> Y(i)=bX(i)+E(i) if Z(i)=1  (second equation)
>
> In this equation "bs" are the coefficients to be estimated and "X" is
> a vector of covariate which includes Lambda (which is the inverse
> mills of the predicted values of equation one in which the DV is = 1)
>
> My question is how can I correct the covariance and the variance of
> the parameters since, Lee, Maddala  and Trost (1980) suggest that
> everytime a two stage model like the one I describe before is
> estimated, a procedure to correct the variance and covariance of the
> parameters should be run.
>
> Is anybody aware about how to do this in Stata?

Yes:
heckman Y X, select(V) twostep
X should not include lambda (Stata does that for you)

Best whishes (to you and everybody else on the list),
Maarten

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

Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

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