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| From | Austin Nichols <austinnichols@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Combining ivregress and heckman |
| Date | Thu, 16 May 2013 13:44:43 -0400 |
Barbara Engels <engels.ba@gmail.com>: So you have a whole list of endogenous RHS variables? What are your instruments? On Wed, May 15, 2013 at 8:28 AM, Barbara Engels <engels.ba@gmail.com> wrote: > it's a standard wage equation. the independent, presumably endogenous variables are employment status shares, i.e. for example the share of months that an individual worked full-time during a year, the share of months that it was unemployed etc. ... . Hence I have observations on x and xe for both observed and missing wages. My selection dummy is "labor force participation" which I define as being =1 if the hours worked are positive and =0 for zero hours worked. I assume that the employment status variables are correlated with the error term since I assume that they are correlated with unobserved individual (fixed) effects. > > > > On 15.05.2013, at 14:19, Austin Nichols wrote: > >> Barbara Engels <engels.ba@gmail.com>: >> >> 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 <engels.ba@gmail.com> 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 <engels.ba@gmail.com>: >>>> 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 <engels.ba@gmail.com> 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/