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st: heckman model

From   Shehzad Ali <[email protected]>
To   [email protected]
Subject   st: heckman model
Date   12 Aug 2008 03:08:20 +0100

Hi listers,

I am trying to estimate a heckman sample selection model using - heckman - command in stata. Here is the model:

heckman y1 x1 x2 x3, sel(y2=x1 x2 x3) twostep

Here x1 is an endogenous variable for both my outcome and selection steps and I would like to account for its endogeneity. I was wondering if you may be able to suggest a one part or two part model whereby I could loop a probit for the endogenous variable in both outcome and selection steps. I know that one possible solution is to do a two part model with first part being a bivariate probit model for selection, and second part being a treatreg model for the outcome variable y1. This way I could include x1 as a treatment variable in both processes, but I was wondering if there is a better solution to this problem.

Any help would be highly appreciated.

Thank you,


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