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Re: st: RE: test for rho=0 in Heckman two-step procedure?
From
Michael Boehm <[email protected]>
To
[email protected]
Subject
Re: st: RE: test for rho=0 in Heckman two-step procedure?
Date
Thu, 18 Feb 2010 10:05:07 +0000
Thanks a lot for your help. I'll use the bootstrap then.
Michael
On Thu, Feb 18, 2010 at 8:50 AM, Martin Weiss <[email protected]> wrote:
>
> <>
>
>
> -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
> > *
> > * 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/
>
>
> *
> * 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/