In Heckman ML estimation how do I decide if there is a selection bias? On
the one hand, rho(the correlation between two equations) is non-zero, even
close to .95. On on the other hand, the Wald test at the bottom of the table
cannot reject the null hypothesis of independent equations. I have found a
power point presentation about heckman in STATA which sais that rho not
equal to zero is enough to infer that there is selection bias. If instead of
ML I do twostep, the IMR is insignificant, although there is nonzero
correlation between the outcome and selection equations. I am confused.
Would anyone spare a time to answer this simple question?
Thank you!
Katharina
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