Bookmark and Share

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

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

st: MLE of Heckman model with endogeneity

From   Nina Parfinenko <>
Subject   st: MLE of Heckman model with endogeneity
Date   Wed, 12 Feb 2014 00:17:32 +1100

Dear Statalist,

I need to estimate a two-equation sample selection model for wage (y1)
and hours (y2). y2 is not observed, only whether y2>0 or y2=0. Wage y1
is observed only if y2>0. Also y1 is endogenous in the y2 equation.
More precisely, the two equations are


and (e1, e2) are jointly normal.

This model could be estimated with ivprobit if y1 were always
observed. On the other hand, it would be a candidate for heckman
command if not for the endogeneity of y1 in the y2 equation. I seems
that Stata ml commands do not take endogenous variables either.

Is it possible to estimate the above model with maximum likelihood
(the 2 equations simultaneously) in Stata using built-in commands? I
have already estimated the system with a two-step procedure and now
need to estimate it jointly and simulatenously with Maximum
Many thanks,
*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index