st: About the Heckman selection model

[Maria Quattri <Maria.Quattri@manchester.ac.uk>]

Dear Statalist:

A few questions related to the Heckman selection model:

1) Both the coefficients for the Probit and those for the OLS seem to  
have no direct interpretation.  Therefore, I would consider the  
significance of marginal effects only: Pr(y observed) for the Probit   
and E(y|y observed) for the OLS. Is that right?

2) Is there any way to test the bivariate normality of the error terms  
for the maximum likelihood estimation in Stata?

3) While Stata twostep option automatically corrects standard errors  
after the inverse Mills ratio enters the regression as estimated  
parameter (i.e. bootstrapping is not necessary), the twostep does not  
allow robust estimation. This seems to suggest that running Heckman  
manually (Probit+OLS with robust s.e. and boostrap, say 1000  
replications) could be better option for inference. Is it so?

4) The robust MLE is less general than the two-step, yet it seems to  
be preferred apart from when the estimated rho approaches 1. Which  
value for rho is "big enough" to suggest the use of the twostep  
procedure?

With thanks and regards

Maria



~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Maria Quattri
PhD student
Economics, School of Social Sciences
University of Manchester, UK
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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