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Re: st: MLE of Heckman model with endogeneity


From   Stas Kolenikov <skolenik@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: MLE of Heckman model with endogeneity
Date   Tue, 11 Feb 2014 11:29:21 -0500

Ninochka,

can you give a snippet of your data, like the first ten observations
with a single x, single z, and all the relevant patterns of what is
observed?

I think David Roodman's -cmp- should be able to handle it, see
http://www.stata-journal.com/article.html?article=st0224.


-- Stas Kolenikov, PhD, PStat (ASA, SSC)
-- Principal Survey Scientist, Abt SRBI
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer
-- http://stas.kolenikov.name



On Tue, Feb 11, 2014 at 8:17 AM, Nina Parfinenko <nparfin@gmail.com> wrote:
> 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
>
> y1=betaX+e1
> y2*=alpha*y1+gammaZ+e2
>
> 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
> Likelihood.
> Many thanks,
> Nina
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