Rafa's suggestion should work, but an adjustment is needed to the
standard errors of all the coefficients in the second step regression.
This is because the IMR is a generated variable (with an associated
prediction error to it). To see the formulas needed to make such
adjutsments check for instance Wooldrige's book Ch. 6 or the Maddala
1983 textbook.
Best
Robert
On 5/25/05, R.E. De Hoyos <[email protected]> wrote:
> Yang,
>
> If you are concerned about heterosckedasticity you can use the -ro- option
> within the full maximum likelihood estimates. However if you are interested
> in the -two-step- option the you can try performing the two-steps your self
> by generating the inverse mills ratio:
>
> heckman depvar indvar, select(select) two m(mymills)
>
> This will generate the non-selection hazard -mymills-, use this as a
> regressor in -reg-
>
> reg depvar indvar mymills
>
> You will be able to use all diagnostics after the second step equation.
>
> I hope this helps,
>
> Rafa
> ________________________
> R.E. De Hoyos
> Faculty of Economics
> University of Cambridge
> CB3 9DE, UK
> www.econ.cam.ac.uk/phd/red29/
>
> ----- Original Message -----
> From: "Yang Li" <[email protected]>
> To: <[email protected]>
> Sent: Wednesday, May 25, 2005 6:32 AM
> Subject: st: Model specification for the Heckman 'twostep' model
>
>
> > Dear Statalist,
> >
> > Our research has applied the Heckman self-selection model with the twostep
> > option. We have a crucial requirement to check our model specifications.
> > However, with the current build-in commends in STATA such as hettest,
> > whitetst, rvfplot, ovtest, linktst etc, we are unable to approaching the
> > regular checking on homoscedasticity, normality of residuals,
> > non-linearity and model specifications.
> > We are appreciated if you could provide any suggestions on STATA commends
> > can help us to cover this requirement as a necessary for our research. Or
> > possibly, are there any ad hoc model specifications requires to be checked
> > in relation to the robustness of our heckman estimation?
> >
> > Best Regards,
> >
> > Yang Li
> >
> > Academic Staff and PhD Student
> > School of Accounting
> > University of Technology, Sydney
> >
> > UTS +61 2 95143684, fax +61 2 95143669
> >
> > The information contained in this e-mail is confidential. It is intended
> > soly for the addressee. If you receive this e-mail by mistake please
> > promptly inform us by reply e-mail and then delete the e-mail and destroy
> > any printed copy. You must not disclose or use in any way the information
> > in the e-mail. There is no warranty that this email is error or virus
> > free. If it is a private communication, care should be taken in opening it
> > to ensure that undue offence is not given.
> >
> >
> >
> >
> >
> > --
> > UTS CRICOS Provider Code: 00099F
> > DISCLAIMER: This email message and any accompanying attachments may
> > contain
> > confidential information. If you are not the intended recipient, do not
> > read, use, disseminate, distribute or copy this message or attachments.
> > If
> > you have received this message in error, please notify the sender
> > immediately
> > and delete this message. Any views expressed in this message are those of
> > the
> > individual sender, except where the sender expressly, and with authority,
> > states them to be the views the University of Technology Sydney. Before
> > opening any attachments, please check them for viruses and defects.
> > *
> > * 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/
>
*
* 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/
