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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/

**Follow-Ups**:**RE: st: estimating the covariance matrix of probit two stage procedure***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**RE: st: estimating the covariance matrix of probit two stage procedure***From:*"Armelini, Guillermo" <DOCGArmelini@iese.edu>

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