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From |
Christopher Baum <[email protected]> |

To |
seb nieto <[email protected]> |

Subject |
st: Re: Stata Heckman and Mills ratio |

Date |
Thu, 24 Sep 2009 13:10:57 -0400 |

Seb,

reg y... heckman y... predict double heckp if e(sample), xb corr heckp y di r(rho)^2 which should be comparable to the r^2 displayed from the regress. Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Sep 24, 2009, at 12:50 PM, seb nieto wrote:

Dear Kit,I am running a regression in which one of the explanatory variablescould have a "selection bias".The basic equation is reg y x1 x2 x3 x4 (equation 1)However x2 has a selection bias problem that can affect the resultof equation 1I then run the following regression:heckman y x1 x3 x4, select(x2 = Z1) twostep mills(lambda)(equation 2)in which Z1 are a set of explanatory variables (some of themdifferent than x1, x3 and x4).I would like however compare the R2 of the equation (1) with respectto equation (2). Can I then run the following regression and reportthe results of equation (3) instead of those of equation (2)?:reg y x1 x3 x4 lambda (equation 3) Of course, lambda variable of eqaution 3 is estimated from equation 2. Thank you very much for your help.

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