When the estimated rho is close to 1, the two-step procedure may handle the estimation better. Otherwise, I think it is now considered preferable not to use it. David Greenberg, Sociology Department, New York University
----- Original Message -----
From: "de la Garza, Adrian" <[email protected]>
Date: Tuesday, May 18, 2004 2:24 pm
Subject: st: Heckman or Heckman-twostep? (was: Things to consider when regressions don't converge)
> Since neither I nor anybody else have found an answer to my problem,
> here is another rather technical question:
>
> In which cases would I prefer to use the Heckman model without the
> twostep option and in which cases would I rather run it with the
> twostepoption?
>
> Thank you, all.
>
> Adrian
>
> > -----Original Message-----
> > From: de la Garza, Adrian
> > Sent: Tuesday, May 18, 2004 11:38 AM
> > To: [email protected]
> > Subject: st: Things to consider when regressions don't converge
> >
> >
> > Jean, thanks a lot. But perhaps I should have explained myself
> better.> It is my -R- that I want, that is, the number of bonds
> issued by a
> > particular borrower SO FAR at each different point in time. Your
> -R-
> > would give me the FINAL total of bonds that a particular
> > borrowed issue
> > throughout the whole sample and that number would be repeated
> for each
> > observation within the same borrower. This is not what I want.
> >
> > And yes, I tried the twostep option and it does run my
> regression more
> > smoothly but I am not sure why it doesn't work without the twostep
> > option.
> >
> > Thank you.
> > Adrian
> >
> > > -----Original Message-----
> > > From: jean ries [[email protected]]
> > > Sent: Tuesday, May 18, 2004 11:26 AM
> > > To: [email protected]
> > > Subject: Re: Things to consider when regressions don't converge
> > >
> > >
> > > At 16:29 18/05/2004, you wrote:
> > > >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 :
> > >
> > > bysort borrower: g R = _N
> > >
> > > and:
> > >
> > > help _variables
> > >
> > > In any case, have a look at the Stata reference manual. It
> > > contains a nice
> > > discussion on problems related to Heckman selection models.
> > > As suggested
> > > there, you should try to fit your model using the two-step method.
> > >
> > > Hope this helps,
> > >
> > > jean
> > >
> > > *
> > > * 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:
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> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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