RE: st: RE: Estimating a Heckman model for a panel dataset

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

Dear Dawit
Yes I do know the book! Thanks very much for responding.
-Jyotsna



Jyotsna (Jo) Puri
Cell and Voicemail: 201-805-1690
pjyotsna@hotmail.com
Doctoral Candidate, Department of Agriculture and Resource Economics,
University of Maryland, College Park, MD




----Original Message Follows----
From: "Dawit Lidia" <ghibertmk@hotmail.com>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: RE: Estimating a Heckman model for a panel dataset
Date: Thu, 20 Jan 2005 19:21:48 +0000

I didn't see a problem with your procedure. The only thing that you should 
do is  that to correct the standard erros in the seond stage by 
bootstrapping both regressions (probit and reg) simulatneously. For further 
reference please Wooldridge (2002). Hope you know this book.

Good luck.
Dawit


> From: "jyotsna puri" <pjyotsna@hotmail.com>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Estimating a Heckman model for a panel dataset
> Date: Thu, 20 Jan 2005 12:52:01 +0000
>
> Dear Listers,
>
> I was wondering if you could help me out. I would
> appreciate any thoughts.
>
> I have a panel dataset. I would like to estimate a
> heckman model. The regular heckman command in STATA
> ofcourse  estimates a pooled model. I would like to correct that.
>
> These are the steps I have thought of:
>
> 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.
>
> 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.
>
> Thank you for all and any clues!
> -Jyotsna
>
>
> Jyotsna (Jo) Puri
> Cell and Voicemail: 201-805-1690
> pjyotsna@hotmail.com
> Doctoral Candidate, Department of Agriculture and Resource Economics,
> University of Maryland, College Park, MD
> I ran the Marine Corp Marathon to help educate.
> http://www.ashanet.org/nycnj/events/2004/hoh/runners/jyotsna_story.html
>
>
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