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Re: st: RE: test for rho=0 in Heckman two-step procedure?
From
Tirthankar Chakravarty <[email protected]>
To
[email protected]
Subject
Re: st: RE: test for rho=0 in Heckman two-step procedure?
Date
Thu, 18 Feb 2010 05:48:54 +0530
See pg. 550 of Cameron & Trivedi's Microeconometrics (CUP, 2005) [CT]
for a discussion on how inference can be based on the inverse Mills
ratio (for which you do have a p-value reported in the output table).
Alternatively, you could try a bootstrap (recommended procedure in [CT]):
*********************************************
webuse womenwk, clear
bootstrap rho=e(rho), reps(1000): heckman wage education age,
select(married children education age) twostep
*********************************************
T
2010/2/18 Michael Boehm <[email protected]>:
> Probably I'm just blind, but I do really not find an option to do the
> "t-test" for rho=0. For example, if I do the command, there is no test
> statistic w.r.t. rho:
>
> . webuse womenwk
> . heckman wage educ age, select(married children educ age) twostep
>
> Heckman selection model -- two-step estimates Number of obs = 2000
> (regression model with sample selection) Censored obs = 657
> Uncensored obs = 1343
>
> Wald chi2(2) = 442.54
> Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> wage |
> education | .9825259 .0538821 18.23 0.000 .8769189 1.088133
>
> age | .2118695 .0220511 9.61 0.000 .1686502 .2550888
> _cons | .7340391 1.248331 0.59 0.557 -1.712645 3.180723
> -------------+----------------------------------------------------------------
> select |
> married | .4308575 .074208 5.81 0.000 .2854125 .5763025
> children | .4473249 .0287417 15.56 0.000 .3909922 .5036576
> education | .0583645 .0109742 5.32 0.000 .0368555 .0798735
>
> age | .0347211 .0042293 8.21 0.000 .0264318 .0430105
> _cons | -2.467365 .1925635 -12.81 0.000 -2.844782 -2.089948
> -------------+----------------------------------------------------------------
> mills |
> lambda | 4.001615 .6065388 6.60 0.000 2.812821 5.19041
> -------------+----------------------------------------------------------------
> rho | 0.67284
> sigma | 5.9473529
> lambda | 4.0016155 .6065388
> ------------------------------------------------------------------------------
>
>
> On Wed, Feb 17, 2010 at 8:30 PM, Martin Weiss <[email protected]> wrote:
>>
>> <>
>>
>> All the options are arrayed in the help file, so what is the fuss about?
>>
>>
>> HTH
>> Martin
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Michael Boehm
>> Sent: Mittwoch, 17. Februar 2010 21:19
>> To: [email protected]
>> Subject: st: test for rho=0 in Heckman two-step procedure?
>>
>> Dear all,
>>
>> when I run the "heckman depvar [indepvars], select(varlist_s) twostep"
>> command I do not get a test for rho=0 (no correlation between errors
>> in the selection and the main equation) - contrary to the ML version
>> without the [twostep] option. I also do not find an option that
>> provides this test and couldn't find anything on a google search.
>>
>> Can someone help?
>>
>> Michael
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
*
* For searches and help try:
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