Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: estimating the covariance matrix of probit two stage procedure
Date   Mon, 24 Dec 2007 13:12:24 +0000 (GMT)

What you proposed was the method originally proposed by James Heckman,
and that is implemented by adding the -twostep- option. I don't know if
that is exactly what you want, I only translated the procedure you
proposed in Stata.

-- Maarten

--- "Armelini, Guillermo" <DOCGArmelini@iese.edu> wrote:

> Thanks Maarten
>  
> but what about the conditional regression. As far as I know Heckman
> model does not consider that the conditional regression is censored,
> that's why I proposed doing the procedure separately.
>  
> Best wishes
>  
> Guillermo
> 
> ________________________________
> 
> De: owner-statalist@hsphsun2.harvard.edu en nombre de Maarten buis
> Enviado el: lun 12/24/2007 6:24
> Para: statalist@hsphsun2.harvard.edu
> Asunto: Re: st: estimating the covariance matrix of probit two stage
> procedure
> 
> 
> 
> --- "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
> 
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
> 
>       ___________________________________________________________
> Support the World Aids Awareness campaign this month with Yahoo! For
> Good http://uk.promotions.yahoo.com/forgood/
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
> 
> 
> 
> This message has been scanned for viruses by TRENDMICRO,
> an IESE technology affiliate company  and global leader in antivirus
> and content security software.
> 


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

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

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


      ___________________________________________________________
Support the World Aids Awareness campaign this month with Yahoo! For Good http://uk.promotions.yahoo.com/forgood/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index