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st: Heckprob problems


From   Qing Gong Yang <qinggong.yang@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Heckprob problems
Date   Tue, 8 Feb 2011 12:53:06 +1300

I am trying to estimate a probit model with selection using Stata 9 and 10's
Heckprob command in the following form:
Heckprob y1 x1 x2 x3 x4, sel (y2 x1 x5 x6).

I came across several problems:
first, the results are not stable. They change even when I just change the
order of the variables.
second,  funny results sometimes with very big Wald Chi2 value and very big
Z values.
third, The maximum log likelihood estimation seems to be critised by some as
inconsistent too.

Any suggestions?
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