Thanks for the advice and refernces provided so far about non-convergence in
Heckman MLE.
Though I couldn't find a way to solve the non-convergence problem I've worked
out a way to estimate my regressions with heckman two steps (reducing all the
weights inequal proportion and creating already weighted variables).
Now my question is this: I would like to make sure that I have no
heteroskedasticity problems. Heckman MLE allowed for the the option "robust"
and also 'cluster'. But with two steps I can't use these options.
I have tried to make a test after the regressions with hettest but it
says "last estimates not found".
This is what I am writting:
heckman LogW memPrim age agesq NE NW
PAMPEANA CUYO PATAGONICA if complPrim==0, twostep select
(employed memPrim age agesq NE NW PAMPEANA CUYO PATAGONICA
assets married children6 children618);
hettest;
I have also tried to do the test by myself first creating a variable with the
resids, but it says "option resid not allowed".
Do you have any suggestions or tricks to check for heteroscedasticity in
Heckman 2 steps? (And clustering?...)
Thanks in advance,
Maria.
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Santos, Maria Emma
Vanderbilt University
Email: [email protected]
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