st: Re: selection bias with bivariate probit

["Martin Weiss" <martin.weiss1@gmx.de>]

<>

Try -ssc d cmp-

HTH
Martin
_______________________
----- Original Message ----- 
From: "Sam Lee" <sunghanl@uic.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 20, 2009 11:15 PM
Subject: st: selection bias with bivariate probit


> Hello all,
>
> I'm looking for a procedure to control selection bias, but a bit special 
> case that I don't know whether STATA supports this.
> Outcome regression: dichotomous dependent variable (high earnings or not) 
> y = beta * x + gamma * z (college or not)
> Selection regression: dichotomous choice dependent variable (college 
> degree or not) z = alpha * w
>
> Classic Heckman procedure deals with the situation where a selection model 
> with a dummy dependent variable (work or not) and an outcome model with a 
> continuous dependent variable (wage) with truncated (only observed if 
> chosen).
> My challenges to use a Heckman procedure are two folds: (1) a dummy 
> variable (high wage or not instead of continuous wage) in an outcome model 
> (2) outcome observations not truncated (we observe earnings for both 
> college degree and non-college degree) - so this is more of a treatment 
> model instead of a selection model.
> STATA has "heckprob" dealing with the first problem and "treatreg" dealing 
> with the second problem. But so far I couldn't find any stata function or 
> ado file dealing with both extensions.
>
> As far as I know, we can include both mills ratio of selected and 
> not-selected in the outcome model from the selection model.
> Then I'll have a consistent coefficient estimate for gamma. But I don't 
> know how to correct std dev of gamma in the outcome probit model (I guess 
> since it is difficult to deal with covariance matrix, I prefer a standard 
> procedure supporting this correction).
>
> Your help will be greatly appreciated.
>
> Sincerely,
>
> Sam Lee
>
>
> Sam Lee
>
> Department of Accounting
>
> College of Business Administration
> University of Illinois (RM# 2302)
> 601 S. Morgan St, Chicago Il 60607
>
> Ph:312.413.2131 Fax:312.996.4520
>
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