I am running a Heckman selection model (shown below) and after this
non-converging story I started playing around with my equation and
noticed that my -lR- variable might be the one that's giving me trouble.
-lR- is ln(R), and -R- is generated as follows:
sort borrower indic signdate mtydate amount
by borrower: g R = _n
so -R- is the number of bonds issued by a particular borrower at each
different point in time.
I don't think that R represents what you expect it to represent. The way
you define it, R contains the current observation number for each borrower.
Try the following to obtain the number of bonds issued by a particular
borrower :
