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st: Binary Choice Panel Data Model with Sample Selection.

From   Ippab <[email protected]>
To   [email protected], Stata Technical Support <[email protected]>
Subject   st: Binary Choice Panel Data Model with Sample Selection.
Date   Thu, 10 Feb 2011 18:23:43 -0700

Hello Stata Users,

I have a panel data with censored observations (sample selection),
where the outcome variable is binary.  Therefore, I need to estimate
both the selection equation and outcome equation with binary choice
models.  I am wondering if there is any command (user written or stata
provided) for estimating such a heckman model with panel data (I am
interested in both fixed and random effects).

I have tried to use the heckprob command, but it does not converge.
Also, my understanding is that it does not consider the panel nature
of the data.  I was able to find a reasonable instrument for the
selection equation, but it still did not work.

Is it reasonable to do the estimation along the line of two step
heckit approach?  In particular, if I get the mills ratio from a
probit model in the first step and include that as a control variable
in the xtlogit or xtprobit with the censored data, would it be
correct?  I followed this approach and the mills ratio is significant.
 From reading the relevant literature, even if this is correct, I need
to correct the standard error in implementing the two step method.
How do I correct the standard errors after running xtlogit or
xtprobit?  Finally, how do I calculate the conditional marginal

I would really appreciate any ideas, suggestions, or directions you
may have.  Thanks a lot in advance!

Best regards,

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