Louis,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Louis Boakye-Yiadom
> Sent: 15 October 2007 14:18
> To: [email protected]
> Subject: Re: st: -heckman- and the identifying variable(s)
>
> Thanks. I was hoping there is an equivalent of the Sargan test.
If you're willing to be specific about which of the overidentifying
restrictions you have doubts about, you can estimate using -heckman- and
ML and do a LR test. That is, do one estimation with the full set of
identifying variables, do a second estimation omitting the ones you have
doubts about, and do your LR test. The interpretation is the same as
that in the IV context - under the null, the test stat should be
distributed as chi-sq with dof=#omitted identifying variables.
HTH.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> Louis
>
> Quoting Maarten buis <[email protected]>:
>
> > --- Louis Boakye-Yiadom <[email protected]> wrote:
> >> When using the -heckman- command, is there a way of checking the
> >> validity of the identifying variable(s)?
> >
> > No, that is the big problem with every type of "causal"
> model, in the
> > end they rely on assumptions you just have to believe. Descriptive
> > models are in that sense much more scientific.
> >
> > -- Maarten
> >
> >
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology Vrije
> Universiteit Amsterdam
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
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