SPAM (07.60): st: RE: Heckman in panel

["jyotsna puri" <pjyotsna@hotmail.com>]

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Content preview:  I know this question has been posed on the list before
  with responses ranging from looking up Wooldridge and GLAMM. I have
  done the former but would like to know if the following is kosher
  before I start 'learning' GLAMM. [...] 

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--- Begin Message ---

From	"jyotsna puri" <pjyotsna@hotmail.com>
To	statalist@hsphsun2.harvard.edu
Subject	st: RE: Heckman in panel
Date	Thu, 13 Jan 2005 19:18:58 +0000

I know this question has been posed on the list before
with responses ranging from looking up Wooldridge
and GLAMM. I have done the former but would like
to know if the following is kosher before
I start 'learning' GLAMM.

I have a panel dataset. I would like to estimate a
heckman model. The regular heckman command ofcourse
estimates a pooled model. I would like to correct that.

1. Estimate the selection equation via xtprobit
2. Get estimates on the mills ratio.
3. Use the mills ratio as an 'explanatory variable' in the response
equation where only the truncated dependent variable is considered,
i.e. estimate this equation for selection =1. This
is estimated via xtreg, re etc. with the hausman test to check
for specification. If necessary use Chamberlain's modification to
get consistent and efficient estimates.

Is this a correct way of thinking about it? If yes, I would ofcourse
have to account for the inter-equation correlation between the
error terms and estimate the standard errors accordingly.
I have not started to do this, so I am not sure how hard this last
step is.

Apologies if this is a silly question.



Jyotsna (Jo) Puri
pjyotsna@hotmail.com
Doctoral candidate, University of Maryland, College Park,
Maryland


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