Re: st: Why Heckprob's estimate of rho is off?

[Partha Deb <partha.deb@hunter.cuny.edu>]

Rachel,

Although I haven't checked your code carefully, it seems most likely that you 
have simply run into sampling theory!! :)  In other words, if you only ran the 
model once, there's nothing that says you can't get -0.2 as a point estimate. 
 If you ran it many times and the average of the rho's wasn't close to -0.5, 
then I'd worry.

Hope this helps.

Partha


Rachel wrote:

> I am trying to simulate data for a censored probit model and then use
> heckprob to check how close its estimates are to the true values.  It
> turns out the estimates of the coefficients are very close and highly
> significant, but the estimates of rho (whose true value is -0.5) is
> off and highly insignificant.  Here is my code:
>
>
> matrix Csample = (1, -.5\-0.5, 1)
> drop eps11 eps22
> drawnorm eps11 eps22, n(2000) corr(Csample)
>
> drawnorm x1 x2 x3, means(10 -9 11) sd (1 1 1)
>
> //defined all beta parameters here--will not list this part//
>
> replace yselectstar=beta00+beta11*x1+beta22*x2+eps11
> regress yselectstar x1 x2
> gen yselect=0
> replace yselect=1 if ystar>0
>
> gen yhat=alpha+beta33*x3
> gen ystar=yhat+eps22
> gen y=0
> replace y=1 if ystar>0
>
> heckprob y x3, sel(yselect=x1 x2)
>
>
>
> I get estimates for the parameters that are very close to the true
> values, with p-values of 0.000.  But the estimated rho value is
> -.2056815 with a
> p value of 0.69.
>
> Can anyone spot the problem with the way I am simulating the data for
> the censored probit?   (I realize that I have values of y for all
> observations, regardless of the value of yselect, but this doesn't
> seem to make a difference in Heckprob's estimates.) Or is the problem
> with heckprob?  I understand that heckprob estimates atanhrho and then
> transforms the parameter and estimates the standard errors using the
> delta method. But I don't understand why it would land at a value that
> is so far off.
>
> Thanks,
> Rachel
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--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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