hi there,
suppose one would like to bootstrap a standard heckman two step
regression in order to recover the adjusted standard errors (I know
the program provides the corrected s.e. but I need it for a double
sample selection case). One approach (the obvious) is to draw
from the entire sample N (including both participants and non-
participants let say). yet, some of the draws will contain very
unequal proportions of the two groups, e.g. only participants or non-
participants. in these cases the results for mills ratio, correlation
coefficient (rho) and sigma will be problematic as values become
very large or very low depending on the draw.
an alternative is to keep the numbers of the subsamples N1 and N2
(participants and non-participants) constant and draw from these
fixed subsamples. then, the above problems disappear. yet, this is
very close to a two sample bootstrap which requires the two
samples to be random and independent. this is problematic as one
applies heckman because they may not be independent.
I had a look for literature on bootstrapping and two step regression
but couldn't find much. would be great if someone could give me a
hint how to proceed in these circumstances.
cheers
axel
Axel Heitmueller,
Centre for Economic Reform and Transformation, CERT
School of Management
Heriot-Watt University
Edinburgh
EH14 4AS
UK
phone +44(0)131 451 3969
fax +44 (0)131 451 3296
[email protected]
www.som.hw.ac.uk/somah3/
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