Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: another question on the interpretation of rho and atanhrho |

Date |
Mon, 7 May 2012 17:43:30 +0200 |

On Mon, May 7, 2012 at 5:20 PM, Laura R. wrote: > I have a question concerning rho and atanhrho, which you receive > estimating, e.g. -cmp- models, or Heckman selection models with > maximum likelihood using -heckman-. > > What many people do is, they look at rho, and if it is not zero but > positive (+) or negative (-), they interpret it as "people who are > more(+)/less(-) likely to do/have X (dependent variable from the > selection equation), are more likely to do/have higher Y (dependent > variable of the main equation)". > > First question: Can you say that solely based on the coefficient of > rho? Because, in the model types I named above, there is no p-value > reported for rho, i.e., no significance level. atanhrho is 0 when rho is 0, so the test that atanhrho is 0 corresponds with the test that rho is 0. > Next, I have read that one should rather interpret atanhrho instead of > rho, because (1) rho is bounded between -1 and 1, while atanhrho is > unbounded, (2) rho is very dependend on the covariates included in the > model. > > about (1): why is this a disadvantage? I suspect that comment was part of a discussion of models that estimated rho directly instead of atanhrho. In those cases using rho instead of atanhrho can be a disadvantage for estimation algorithms. However, unless you want to program your own estimators you can safely ignore that debate. All you need to know is that both -heckman- and -cmp- maximize the log likelihood with respect to the atanhrho, and from that you can derive the rho. > about (2): why does rho strongly depend on the covariates included, > but atanhrho not? (if that was a correct information) It does not. -- Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: another question on the interpretation of rho and atanhrho***From:*"Laura R." <laura.roh@googlemail.com>

**References**:**st: another question on the interpretation of rho and atanhrho***From:*"Laura R." <laura.roh@googlemail.com>

- Prev by Date:
**Re: st: Breusch and Pagan Lagrangian multiplier test for random effects** - Next by Date:
**st: gllamm for binary outcome - interpertation** - Previous by thread:
**st: another question on the interpretation of rho and atanhrho** - Next by thread:
**Re: st: another question on the interpretation of rho and atanhrho** - Index(es):