I wrongly posted an answer to a question about conditional probit as if it
was an answer to Heckman in panel. I apologize for that.
----- Original Message -----
From: "jyotsna puri" <[email protected]>
To: <[email protected]>
Sent: Thursday, January 13, 2005 11:18 AM
Subject: st: RE: Heckman in panel
> 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
> [email protected]
> Doctoral candidate, University of Maryland, College Park,
> Maryland
>
>
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