Dear all,
I'm using `heckman' in Stata 8.2. Sometimes I include
a collinear variable (say "B") in both the regression
and selection equations, and the following happens:
(1) It spits out the note "B dropped due to
collinearity.
(2) It omits it from the regression equation.
(3) YET... it includes it in the selection equation,
where it gets a coefficient but everything else is
replaced by "." (std err, z-statistic, etc).
This may be totally obvious, but what does that
coefficient represent? More generally, what's
happening?
Thanks in advance,
CM Hsieh
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