Hi stata users. I got no response from my initial posting -- but perhaps
if I ask again... There must be a selection bias expert out there!
Can anyone offer a test of my exclusion restrictions for a heckman
selection
model (beyond that theoretically they don't belong in the regression
stage)? If I include them in the regression, aren't I committing the
error of having Z=X and thus relying on the distributional assumptions
to identify my model? It has been suggested that my excluded variables
(in the probit) should not be correlated with the regressors in the
linear regression, but this seems too stringent. I have more than one
excluded variable, so I have been including them in small batches in the
regression and doing an F-test on their coefficients.
Any thoughts?
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