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

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

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 |
Wed, 12 Feb 2014 23:18:29 -0500 |

You said that your Y2 that you were interested in was hours, a continuous rather than a binary variable... and you did not say yours were panel data. With -cmp-, you can introduce random effects, although I am not sure how reasonable they would be given the nature of your problem, and economists do not like the random effects very much. -- 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 Wed, Feb 12, 2014 at 7:39 PM, Nina Parfinenko <nparfin@gmail.com> wrote: > Hi Stas, > > Thank you for your answer. This is a snippet of my data: > > id employed(Y2) logwage(Y1) experience(X,Z) part-time-work(X) > non-labor-income(Z) > 100002 Employed 259.1516 21 1 10.38887 > 100002 Employed 222.4555 21.91667 1 10.7015 > 100002 Employed 252.914 22.88889 1 11.11234 > 100002 Employed 274.1406 23.80556 1 10.79897 > 100004 Employed 241.0749 11 1 10.58269 > 100004 Employed 222.7311 12.02778 1 10.95263 > 100004 Employed 382.0812 12.58333 1 10.72274 > 100004 Employed 244.6271 13.55556 1 11.40245 > 100005 Employed 173.5379 0.9444444 1 8.768297 > 100005 Employed 251.9188 2.083333 1 9.007585 > 100005 Employed 229.8504 3.027778 1 0 > 100005 Not employed . 5.000381 0 10.37486 > 100005 Not employed . 5.000381 0 9.950747 > 100005 Not employed . 5.000381 0 10.39137 > 100005 Not employed . 5.000381 0 10.3661 > 100005 Not employed . 5.000381 0 10.11485 > > This is panel data of females, with 25 variables in both X & Z, 5 only > in X and 9 only in Z. Out of 39 variables, 31 are dummies. Variables > include age, experience, tenure, marital status, non-labor income, > education, children, enlish-speaking background, occupation, health > and ethnicity. > > Thanks for the pointer to -cmp-, it seems to cover both -heckman- and > -ivprobit-, so maybe it can be used for their hybrid. On the other > hand, I suspect my ML function could be non-concave. > Best, > Nina > > On Wed, Feb 12, 2014 at 3:29 AM, Stas Kolenikov <skolenik@gmail.com> wrote: >> 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 >>> * >>> * 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/ >> * >> * 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/ > * > * 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/ * * 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/

**References**:**Re: st: MLE of Heckman model with endogeneity***From:*Nina Parfinenko <nparfin@gmail.com>

- Prev by Date:
**Re: st: MLE of Heckman model with endogeneity** - Next by Date:
**st: How to fix 2 errors in Notepad++ syntax highlighting?** - Previous by thread:
**Re: st: MLE of Heckman model with endogeneity** - Next by thread:
**st: Dropping variables with mostly missing values** - Index(es):