Dear Stas,
Thanks for your answer. I just have a couple of precisions
to make. What I want to do IS feasible, maybe there is no
code in STATA but it is feasible. The model that I want to
fit is LIKE the Heckman model it isn't exactly the heckman
model, precisely for the reason that you mention, i.e.,
there is no parametric fixed effect probit model, so there
is no straightforward extension.
The model that I am following is in Econometrica, 1997 by
Kyriazidou and it is mentioned also in the second edition of
C. Hsiao book on Analysis of Panel Data. Finally, I think
that Limdep 8 has a semiparametric method to obtain probit
fixed effects and maybe can also do what I want but I don't
have access to it and it is too expensive (+500 dollars)
----- Original Message Follows -----
>
> I don't think that what you want is feasible. To my
> knowledge (based on stuff like Wooldridge's black book),
> fixed effect probit cannot be estimated, as there is no
> way to condition on the panel level error term; and probit
> is in general a part of -heckman-. So I would be surprised
> if there was any way to do fixed effect Heckman model.
>
> -gllamm- should be able estimate a random effects model
> instead, but you would need to put some effort into the
> data management, and convincing -gllamm- that a missing
> RHS variable is a valid outcome, since the missing values
> are, by default, dropped by -ml-. -heckman- was programmed
> specifically to handle that as an exception, but I am not
> sure there is an easy way to let -gllamm- know how to
> handle the missing values.
>
> Stas
>
> On Mon, 08 Nov 2004 13:08:10 -0800,
> [email protected] <[email protected]>
> > wrote: I was wondering if any of you know if there is a
> > code available in STATA to estimate a fixed effects
> > selection model with panel data? Ideally I will like to
> > estimate a model similar to a Heckman two steps
> > estimator but using panel data. I know that Kyriazidou
> > (1997) developed a model like this in Econometrica and
> > she has a code in Gauss and I have heard that there is
> > something similar available in Limdep 8 but I will like
> > to know if there is something similar for STATA.
> >
> > I have seen in the statalist that some people have
> > suggested for a similar problem to use heckman, cluster
> > but I am not sure if that solution is really consistent.
> > In particular I think it will not solve the problem of
> > unobserved heterogeneity at the individual level that is
> > solved using fixed effects, it will change the standard
> > errors but the coefficients might still be inconsistent.
> > I have also seen some suggestions to use GLLAMM for
> > this, I have to admit that I am not familiar with GLLAMM
> > but again I am not sure if such procedure is consistent
> > with econometric theory and if it is really suitable to
> what I want to do.
>
> --
> Stas Kolenikov
> http://stas.kolenikov.name
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