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Re: st: Re: Heckman specification


From   Johanna Avato <[email protected]>
To   [email protected]
Subject   Re: st: Re: Heckman specification
Date   Wed, 7 Jan 2009 17:16:15 -0500

As described in Wooldridge (2002) it is apparently not mandatory to have an instrument or additional variable in the selection equation (though having no iv creates collinearity between mills and covariates) but my question is whether I can drop one of my covariates in the selection equation plus have my instrument (or should I then have two?) and keep the same covariate in the main equation? Basically I would have the same number of Xes but one would be different. Any ideas?

On Jan 7, 2009, at 5:05 PM, Martin Weiss wrote:

As I understand the literature on the -heckman- procedure, it is customary to have different sets of covariates for the two equations in the two-step model, i.e. the selection equation should have an additional covariate over the outcome equation. See "MUS" http://www.stata.com/bookstore/mus.html , 16.6.5, page 546.

HTH
Martin
_______________________
----- Original Message ----- From: "Johanna Avato" <[email protected] >
To: <[email protected]>
Sent: Wednesday, January 07, 2009 8:57 PM
Subject: st: Heckman specification


Does anyone know whether it is mandatory to have the same variables in both equations in the heckman two-step procedure (plus the iv in the selection equation) or is it possible to drop one variable from the selection equation only? I have a model where one variable causes major collinearity problems in the selection equation.
THanks.
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