Jyotsna,
It seems to me that your procedure might work well, altough it will only work for random effects and not for fixed effects since xtprobit is only valid for random effects.
There are two alternatives that I know of to get fixed effects (or something close to it) this are the references:
Kyriazidou, E. (1997). Estimation of a Panel Data Sample Selection Model. Econometrica. 65 (6), pp. 1335-1364.
Wooldridge, J. (1995). Selection Corrections for Panel Data Models under Conditional Mean Independence Assumptions. Journal of Econometrics. 68, pp. 115-132.
I haven't tried Kyriazidou's estimator since it has some data requirements that my data set doesn't satisfy. I have done some rudimentary attempts to estimate wooldridge's model...
Alejandro
>
> ----- Original Message -----
> From: "jyotsna puri" <[email protected]>
> To: <[email protected]>
> Sent: Monday, April 04, 2005 10:28 AM
> Subject: RE: st: RE: Panel data Heckman and FE Tobit
>
>
> > Amrita and Alejandro,
> >
> > Both of you are correct. I guess there should be a way to do Heckman
> > for Panel data and I had laid out a possible method, a while ago, but I
> have
> > not written such a program. I think I will need it so if you are keen,
> > I could exchange notes with you, once I am along some way.
> >
> > These are the steps I had thought of:
> > 1. Estimate the selection equation via xtprobit.
> > 2. Get estimates of 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 with
> the
> > Hausman
> > test to check for specification.
> > 4. One would have to account for inter-equation correlation and
> bootstrap
> > the standard errors accordingly.
> >
> >
> > -Jyotsna
> >
> >
> >
> > Jyotsna (Jo) Puri
> > [email protected]
> > Doctoral Candidate, Department of Agriculture and Resource Economics,
> > University of Maryland, College Park, MD
> > I ran the Marine Corp Marathon to help educate.
> >
> >
> >
> >
> > ----Original Message Follows----
> > From: "Alejandro Lopez-Feldman" <[email protected]>
> > Reply-To: [email protected]
> > To: [email protected]
> > Subject: st: RE: Panel data Heckman and FE Tobit
> > Date: Mon, 4 Apr 2005 09:47:18 -0700 (PDT)
> >
> > Amrita,
> >
> > I have asked the same question before and from what I have learned I
> can
> > tell you that there is no command in Stata that can do Heckman with
> panel
> > (except of course the pooled case). Cluster is not equivalent to fixed
> > effects or random effects. And there are no user written commands
> either
> >
> > I think you are right about tobit.
> >
> > Alejandro
> >
> > > ----- Original Message -----
> > > From: "Amrita Bhattacharyya" <[email protected]>
> > > To: <[email protected]>
> > > Sent: Monday, April 04, 2005 9:22 AM
> > > Subject: st: Panel data Heckman and FE Tobit
> > >
> > >
> > > > Dear Statalisters,
> > > >
> > > > I will really appreciate if you could help me with the following:
> > > >
> > > > 1) Is there a STATA command to do Heckman model with Panel data?
> Is
> > > heckman,cluster proper to use in this case? If Heckman can be done
> with
> > > Panel data, is there a way to do iv?
> > > >
> > > > 2) Am I right to say that doing fixed effect in Tobit with Panel
> data
> > > is
> > > quite complicated (the only oprtion is programme written by Bo
> Honore)
> > > and
> > > there is no command to do tobit with iv and fixed effect?
> > > >
> > > > Thank you for your help in advance.
> > > >
> > > > Sincerely,
> > > > Amrita
> > > >
> > > > Fourth Year Doctoral Student
> > > > Department of Economics
> > > > Boston College
> > > > 21 Campanella Way--Room 462A
> > > > Chestnut Hill, MA 02467
> > > >
> > > > tel: +1-617-552-6742
> > > > fax: +1-617-552-2308
> > > > *
> > > > * For searches and help try:
> > > > * http://www.stata.com/support/faqs/res/findit.html
> > > > * http://www.stata.com/support/statalist/faq
> > > > * http://www.ats.ucla.edu/stat/stata/
> > >
> > >
> >
> > -----------------------------------------
> > Alejandro Lopez-Feldman
> > Ph.D. Candidate
> > Agricultural and Resource Economics
> > University of California-Davis
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
>
-----------------------------------------
Alejandro Lopez-Feldman
Ph.D. Candidate
Agricultural and Resource Economics
University of California-Davis
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
