st: Interpretation of Heckman Output

["Erik A. Mooi" <e.a.mooi@aston.ac.uk>]

Dear Statalisters,

I have been trying to run a model explaining if managers react to problems
they encounter with their suppliers. Since I expect a selection problem to
occur (i.e. managers try to achieve the best outcomes by choosing one of the
two possible strategies) a two-staged Heckman approach seems appropriate.
Therefore I have constructed a selection equation based on some aspects of
the severity of problems they encounter in the transaction together with
aspects of the buyer-seller contract. Subsequently I have controlled for
each of these exogenous variables plus one instrument in the outcome
equation as follows:

heckman outcome additionalvar selectionvars, twostep select(strategy =
selectionvars) rhosigma

The outcomes using this approach indeed suggest a specification issue as the
outcomes between a Heckman and OLS estimation differ substantially (see
below with the original variable names corresponding to the above). However,
this would lead me to expect that the inverse Mills ratio is also
significant but this is not the case. How could this be? All the examples
that I have seen on the Internet on Heckman show that substantial parameter
differences between Heckman and OLS relate to significant Mills ratios. Is
there anything I have done wrong?

With kind regards,

Erik

-----------------

heckman v5_12b v5_2 exposttc rights service prodpric recourse, twostep
select(v5_5bf = exposttc rights service prodpric recourse) rhosigma

Heckman selection model -- two-step estimates   Number of obs      =
928
(regression model with sample selection)        Censored obs       =
737
                                                Uncensored obs     =
191

                                                Wald chi2(11)      =
227.39
                                                Prob > chi2        =
0.0000

----------------------------------------------------------------------------
--
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
v5_12b       |
        v5_2 |   .0971938   .2696069     0.36   0.718     -.431226
.6256136
    exposttc |  -.1511838   .0830238    -1.82   0.069    -.3139074
.0115397
      rights |   .0937918   .1002321     0.94   0.349    -.1026595
.2902432
     service |  -.0115216   .1530307    -0.08   0.940    -.3114562
.288413
    prodpric |   -.109601   .0761067    -1.44   0.150    -.2587675
.0395654
    recourse |  -.0503901    .125504    -0.40   0.688    -.2963735
.1955933
       _cons |   10.51196   3.910816     2.69   0.007     2.846904
18.17702
-------------+----------------------------------------------------------
v5_5bf       |
    exposttc |   .0993788   .0069866    14.22   0.000     .0856854
.1130722
      rights |  -.0959504   .0315393    -3.04   0.002    -.1577663
-.0341346
     service |   .1273116   .0566456     2.25   0.025     .0162883
.238335
    prodpric |    .023815   .0387175     0.62   0.538      -.05207
.0997
    recourse |   .1158447   .0425291     2.72   0.006     .0324892
.1992002
       _cons |  -3.228235   .2235185   -14.44   0.000    -3.666323
-2.790147
-------------+----------------------------------------------------------
mills        |
      lambda |  -.2353879   1.312908    -0.18   0.858     -2.80864
2.337864
-------------+----------------------------------------------------------
         rho |   -0.17707
       sigma |  1.3293293
      lambda | -.23538794   1.312908
----------------------------------------------------------------------------
--

reg v5_12b v5_2 exposttc rights service prodpric recourse

      Source |       SS       df       MS              Number of obs =
915
-------------+------------------------------           F(  6,   908) =
95.83
       Model |  726.998251     6  121.166375           Prob > F      =
0.0000
    Residual |  1148.04498   908  1.26436672           R-squared     =
0.3877
-------------+------------------------------           Adj R-squared =
0.3837
       Total |  1875.04324   914  2.05146962           Root MSE      =
1.1244

----------------------------------------------------------------------------
--
      v5_12b |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
        v5_2 |  -.1803181   .0917545    -1.97   0.050    -.3603936
-.0002425
    exposttc |  -.1082438   .0056015   -19.32   0.000    -.1192371
-.0972505
      rights |   .0120973   .0219006     0.55   0.581    -.0308845
.055079
     service |   .0079959   .0387689     0.21   0.837    -.0680912
.084083
    prodpric |  -.0042016   .0250155    -0.17   0.867    -.0532966
.0448933
    recourse |     .01187   .0307798     0.39   0.700    -.0485377
.0722778
       _cons |   9.398066   .1371511    68.52   0.000     9.128896
9.667236
----------------------------------------------------------------------------
--





 

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