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AW: st: RE: test for rho=0 in Heckman two-step procedure?
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
AW: st: RE: test for rho=0 in Heckman two-step procedure?
Date
Thu, 18 Feb 2010 09:50:43 +0100
<>
-test- can only be run with corresponding entries in the "e(b)" and "e(V)"
matrices posted by -heckman-. If you type - mat l e(b)- and
-mat l e(V)- after estimation, you can see that there are no entries for
-rho-. -bootstrap-ping the statistic may be a way out.
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Michael Boehm
Gesendet: Donnerstag, 18. Februar 2010 00:09
An: [email protected]
Betreff: Re: st: RE: test for rho=0 in Heckman two-step procedure?
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
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