Seema--
As Stas indicated in a prior post
(http://www.stata.com/statalist/archive/2004-11/msg00289.html) you
cannot run -heckman- on panel data, though the -gllamm- and -ssm-
(both available via -findit-) commands may provide alternatives. There
are other alternatives out there, but you may not get much useful
guidance without providing more info about your specific model. In the
near term, you might want to try -findit xtabond2- and read the paper
by that program's author David Roodman
(http://www.cgdev.org/content/publications/detail/11619) since you
seem to be interested in lags (in what context is not clear). You may
also want to read these papers on approaches to sample selection in
panel data:
Kyriazidou, Ekaterini. 1997. "Estimation of a Panel Data Sample
Selection Model", Econometrica, 65(6): 1335-1364.
http://links.jstor.org/sici?sici=0012-9682%28199711%2965%3A6%3C1335%3AEOAPDS%3E2.0.CO%3B2-B
or
Lewbel, Arthur. Revised December 2005. "Simple Endogenous Binary
Choice And Selection Panel Model Estimators." Boston College.
http://fmwww.bc.edu/EC-P/WP613.pdf
or
Lee, David S. June 2002. "Trimming for Bounds on Treatment Effects
with Missing Outcomes" NBER Working Paper No. T0277.
http://www.nber.org/papers/t0277
[with an interesting application in http://www.nber.org/papers/w11384
called "Incomes in South Africa Since the Fall of Apartheid" by Murray
Leibbrandt, James Levinsohn, and Justin McCrary, modeling selection
into nonzero income]
On 7/23/07, Seema Bhatia <[email protected]> wrote:
I am trying to explore the possibility of using the 2 stage Heckmen Sample
selection method within a panel using a fixed/random effects model for some
trade data. Would anyone know how to do this using time lags?
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