Re: st: 3sls, selection

["joe jacob" <otharain@hotmail.com>]

chris and others,

I should apologise for not describing the variables as I thought that might 
make things more complicated.

I have an establishment level data set (100000 plus observatiosn)
The key equation of interest is
ird=  expint+ irdvcus+ irovcus+ skill+ outs+gov+ forg  /*Eqn 1.*/ where, IRD 
captures leraning efforts from embodied R&D(dervided from sectoral R&D stock 
of OECD countries and distributed across establishments) EXPINT
*expdum ird    irdvcus irovcus  wager   skill3  outs   ltlnou       gov forg 
 /*Eqn 1.*/
*expint ird    irdvcus irovcus  wager   skill3  ltlnou size2 forg  /*Eqn 
2.*/





> From: Chris Rohlfs <car@uchicago.edu>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: 3sls, selection
> Date: Mon, 8 Sep 2003 15:36:58 -0500 (CDT)
>
> jacob,
>
> could you please describe the variables you're looking at ?
>
> chris
>
> On Mon, 8 Sep 2003, joe jacob wrote:
>
> > Dear all,
> >
> > This is my first mail to statalist and this mail is made after days of
> > learning from the discussions in the listserver.
> >
> > I have a two-equation system to estimate.
> >
> > Eq. (1)  y1 = y2 + x1 + x2 +x3+x4+  u
> > Eq. (2)  y2 = y1 + x1 + x2+v,
> >
> > with the endogenous variables y1 and y2 (both continuous) appearing in 
> the
> > RHS of both equations. Thus a simultaneous equation is of course the 
> right
> > way to proceed.
> >
> > But variable y1 needs to be corrected for the Selection hazard using the
> > Heckman procedure. This is because some observations are zero due to 
> 'self
> > selection'. Thus we have a selection equation involving the variables 
> (y2,
> > x1, x2 ,x3,x4,x5).
> >
> > One approach I could think of is to calculate the IMR from heckman
> > estimation of equation 1, plugging it back in the same equation and 
> running
> > a 3sls estimation involving equations 1 and 2. BUT I think that does not
> > make much sense because IMR is calculated from two equations (Eqn 1 and 
> the
> > selection equation) that has an endogenous explanatory variable (y2).
> >
> > My question is how could I take care of these two problems. 1. The
> > endogeneity (simultaneity) of y1 and y2 , 2.the selection bias 
> pertaining to
> > variable y1.
> >
> > Thanks in advance for your kind suggestions.
> >
> > Sincerely,
> >
> > Itty Jacob
> >
> > PS: My apologies for any wrong terminology.
> >
> > _________________________________________________________________
> > Need more e-mail storage? Get 10MB with Hotmail Extra Storage.
> > http://join.msn.com/?PAGE=features/es
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
_________________________________________________________________
Meet Virgo. Fall in love. http://server1.msn.co.in/features/virgo03/ With 
perfection!

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/