It is (ii), no good answer. Heckman's model is complicated enough per
se, and putting another layer of complexity with panel is not an easy
task. The simplest thing to do is to make -cluster()- correction, if
-heckman- syntax allows that.
if you are desperate, try -gllamm- with three levels: level 1
observations are (a) your probit decision and (b) continuous response;
level 2 units are those pairs, so that the unobserved random effect
allows for the correlation of the two, and is specific to individual
and time; level 3 units are individuals.
Hope this helps, and think over Nick's comments. A good email starts
with "I read the [R] and [U] manuals, I searched Stata FAQ and
Statalist archive, but cannot seem to find an answer to the following
question: ...". (Soon we would have to add, "... and -gllamm- manual
... " :))
Stas
On Wed, 20 Oct 2004 09:52:32 +0200, hwiig <[email protected]> wrote:
> Hello again everyone! No reply yet on my question I posted yesterday, I
> just need to know whether its because (i) There is a technical error
> somewhere, and the question never reaches you? (ii) Nobody knows the answer
> or (ii) the question is so "stupid" that nobody bothers to answer. Anyway,
> I try again:
>
> >Hi!
> >
> >I got a panel data set of some small scale farmers in developing
> >countries. Some sell volume X at individual price P, some don't sell at
> >all. The control variables vector Z for all farmers is available.
> >
> >Heckmans method controls for self selection by (i) estimating a probit for
> >sell / no sell (ii) introducing the resulting Mills ratio in the sales
> >equation before running a normal OLS (on the households that do sell their
> >product).
> >
> >I got information from two years, so I wonder whether there exist some
> >kind of Stata procedure to correct for estimated individual effects
> >(either fixed or random).
> >
> >The Stata command "xtprobit" does exactly this for a isolated first step, so
> >
> >(1) How do I introduce xtprobit in the first stage of the Heckman in order
> >to correct for individual (unobserved) differences in choosing to sell or not?
> >
> >(2) How do I introduce individual differences the sales function (second
> >step) of the Heckman model (i.e. also individual unobserved differences in
> >sales volume for the farmers who do sell)?
> >
> >Anyone out there who knows how to solve this? I would most appreciate your
> >help!
>
> Henrik
>
> Henrik Wiig
> Department of Economics
> University of Oslo
> PO Box 1095 Blindern, N-0317 Oslo, Norway
> Eilert Sundts hus, 12th floor, Moltke Moes vei 31
> Telephone: 22 85 51 35
> Fax: 22 85 50 35
> E-mail: [email protected]
> Private telephone: 22 55 24 84
> Mobile telephone: 47 75 75 09
> http://folk.uio.no/hwiig/
>
--
Stas Kolenikov
http://stas.kolenikov.name
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