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Re: st: Combining ivregress and heckman


From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: Combining ivregress and heckman
Date   Wed, 15 May 2013 08:19:03 -0400

Barbara Engels <[email protected]>:

Do you have observations on x and xe for the observed and missing y?
E.g. are you worried about selection into the labor market, and your
data has workers and nonworkers?  Can you specify what the selection
process is, and what the nature of the endogeneity in xe is?


On Wed, May 15, 2013 at 7:54 AM, Barbara Engels <[email protected]> wrote:
> Thanks for this comment. However, I am not sure I understood it correctly.
> Say that I want to estimate
>
> y x xe
>
> where y is the dependent, x and xe the independent variables, where xe are the independent variables presumed to be endogenous.
>
> The Heckman two--step is described by
>
> heckman y x xe (selection= x xe excl)
>
> where excl are the exclusion restrictions and selection is some binary selection variable.
>
> the IV would look something like
>
> ivregress 2sls y x (xe=instrumentals).
>
> Are you saying that I should use "instrumentals" instead of xe in the selection equation, then predict using predict select_xb, psel (=p_hat) and then just add psel to the instruments in ivregress, so that the latter becomes
>
> ivregress 2sls y x (xe=instrumentals p_hat)?
>
> I am not sure this is what you meant. thanks in advance?
>
>
> On 15.05.2013, at 13:33, Austin Nichols wrote:
>
>> Barbara Engels <[email protected]>:
>> There are some bad suggestions in that thread, IMHO.  You can use
>> -ivregress- or -ivreg2- (SSC) to correct for bias of several
>> varieties; excluded instruments used in the selection equation can be
>> used in a first stage probit, then predict to make a new generated
>> instrument to accompany your other excluded instruments.  I.e. use
>> predicted probability of y1, call it p_hat, as an instrument for y1 at
>> the same time you use z as an instrument for x.
>>
>> On Wed, May 15, 2013 at 5:33 AM, Barbara Engels <[email protected]> wrote:
>>> Dear Statalist users,
>>>
>>> I want to estimate a  model that accounts both for  sample selection like Heckman Two-Step, and endogeneity like ivregress.
>>> The dependent variable is continuous. The variables to be instrumented appear both in the normal regression and in the selection equation in the Heckman model.
>>> I found some hints on Statalist (http://www.stata.com/statalist/archive/2009-08/msg00219.html), but didn't quite understand how to perform the combined "ivheckman" after all.
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