Re: st: Combining ivregress and heckman

[Barbara Engels <engels.ba@gmail.com>]

my instruments are year-to-year variation of the endogenous variables, alongside  a handful of exogenous RHS variables from the original regression. 


On 16.05.2013, at 19:44, Austin Nichols wrote:

> 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.
> 
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