Re: st: Combining ivregress and heckman

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

Well, actually, yes, I am trying to instrument the share of employment time and the share of unemployment time with the year-to-year change (in Stata: d.) of these shares. Which transformation would you suggest - assuming there are no "better" instruments than transformations? 


On 16.05.2013, at 20:00, Austin Nichols wrote:

> Barbara Engels <engels.ba@gmail.com>:
> Sounds like no instruments at all. Are you saying you are
> instrumenting for weeks unemployed and weeks employed for those who
> worked at some point during the year with "year-to-year variation of"
> weeks unemployed and weeks employed? Makes no sense to me.
> 
> 
> On Thu, May 16, 2013 at 1:49 PM, Barbara Engels <engels.ba@gmail.com> wrote:
>> 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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