Re: st: heckman two-step selection estimation for survey data

[Shehzad Ali <sia500@york.ac.uk>]

Dear listers,

Following on from the discussion on the use of weights with - heckman 
twostep - can I ask would the same logic apply to treatment effects models 
like -treatreg twostep- ? To be precise, can -treatreg twostep- be used for 
survey data although the twostep function does not allow use of weights or 
cluster?

Thank you,

Shehzad

On Nov 1 2008, Joao Ricardo F. Lima wrote:

> Dear Mandy,
>
> you can read the svy manual (Stata 10), page 75: "When used with
> independently distributed, nonweighted data, the likelihood to be
> maximized reflects the joint probability distribution of the data
> given chosen model. With complex survey data, however, this
> interpretation of the likelihood is no longer valid, as survey data
> are weighted, not independently distributed, or both. Yet for survey
> data, (valid) parameters estimates for a given model can be obtained
> using the associated likelihood function with the appropriate
> weignting. Since the probabilistic interpretation no longer holds, the
> likelihood is instead called a pseudolikelihood....".
>
> With survey data, you can´t use OLS (second-stage of the Heckman
> two-stage) to get consistent estimators. With svy data you will max
> the log pseudolikelihood.
>
> Other experts can explain it better, but keep in mind that with svy
> date, you can´t do heckman two-step.
>
> HTH,
>
> Joao Lima
>
> 2008/11/1 Mandy fu <mandy.fu1@gmail.com>:
> > Hi all,
> >
> > I notice -svy:heckman- is not allowed to use -twostep-option,while
> > -heckman- does not allow to use pweight. So, I got the silly question:
> > how to do the heckman two-step estimation for survey data?
> >
> > [I checked the archives and find log time ago someone else has asked
> > the question why -heckman-does not allow to use pw. But nobody
> > answered yet. So, I ask again and feel free to let me know if the
> > question does not make sense at all. So, I'll not waste time on this.]
> >
> > Thanks for your time!
> >
> > --
> > Mandy
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