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| From | Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| 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 <michael.boehm1@gmail.com>: > 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 <martin.weiss1@gmx.de> wrote: >> >> <> >> >> All the options are arrayed in the help file, so what is the fuss about? >> >> >> HTH >> Martin >> >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Michael Boehm >> Sent: Mittwoch, 17. Februar 2010 21:19 >> To: statalist@hsphsun2.harvard.edu >> 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: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/