Re: st: -gmm- Heckman problem

[Nick Cox <njcoxstata@gmail.com>]

Thanks for fixing the post. The nesting of macros implies that the  
listing of instruments here includes, in either case, an expression,  
whereas the syntax is that only a varlist is allowed in that place. At  
a minimum, I guess all your instruments must already exist as  
variables at the time of calling -heckman-. Whether your (implied)  
instruments make sense I can't say.

Nick

Use -macro list- before your final command to see the consequences of  
your definitions.

Nick

On 18 Sep 2012, at 22:12, shetty sandeep <getsane@hotmail.com> wrote:

> Hello Nick,
>
> I am sorry about not using the initial capitals for proper nouns. I  
> will keep that in mind.
>
> The $mills in the previous email is a typo only in the email and not  
> in the code. In the code it is $mil - this I define. I am pasting  
> the full code again.
> When I run the code (pasted below) I get some errors. I describe  
> them below.
>
> ---------------------
> *Main code
> global xb "{b1}*tage+{b2}*sqage+{b3}*child_less_18+{b4}*marry+{b5} 
> *faminc+{b6}*efnp+{b7}*metro+{b8}*race+{b9}*firmsize+{b0}"
> global phi "normalden($xb)"
> global  Phi "normal($xb)"
> global mil "$phi/ 
> $Phi"                                                           //  
> calculating the Inverse Mills ratio
> global a1 "($phi/($Phi*(1-$Phi)))*(trad-$Phi)"                    //  
> derivative of the selection likelihood. Here trad is the dummy for  
> observed log(wage)
>
> //eq 2
> global xb2 "{beta1}*tage+{beta2}*sqage+{beta3}*marry+{beta4}*metro+ 
> {beta5}*race+{beta6}*firmsize+{beta0}"  // wage equation
>
>
> //First gmm command
> gmm (eq1:$a1)(eq2:lnwage-$xb2-{gamma}*($phi/$Phi)), ///
> instruments(eq1: tage sqage child_less_18 marry faminc efnp metro  
> race firmsize) ///
> instruments(eq2: tage sqage marry metro race firmsize $mil) winitial 
> (identity)
> ------------------------
>
> When I run the above gmm command where instruments for the second  
> equation includes $mil, I get the following error
>
> normalden({b1}*tage+{b2}*sqage+{b3}*rfoklt18+{b4}*marry+{b5}*faminc+ 
> {b6}*efnp+{b7}*metro+{b8}*r
> > ace+{b9}*firmsize+{b0})/normal
> numlist in operator invalid
>
> I have checked the other parts of the code and this error is mainly  
> to do with the $mil as an instrument in the gmm command.
>
> Secondly,
> When I run the gmm code replacing $mil with $phi and $Phi as  
> instruments as below
>
> gmm (eq1:$a1)(eq2:lnwage-$xb2-{gamma}*($phi/$Phi)), ///
> instruments(eq1: tage sqage rfoklt18 marry faminc efnp metro race  
> firmsize) ///
> instruments(eq2: tage sqage marry metro race firmsize $phi $Phi)  
> winitial(identity)
>
> I get the following error as "{ Invalid name"
>
> I would like to know why is this the case and how should I specify  
> the Inverse Mills ratio ($mil) as an instrument in the -gmm- command?
>
> Thank you for any help.
>
> ----------------------------------------
> > From: njcoxstata@gmail.com
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: -gmm- heckman problem
> > Date: Tue, 18 Sep 2012 21:02:20 +0100
> >
> > According to this, you define $mil, but don't use it, and try to use
> > $mills, but don't define it. Otherwise put, what you are showing us
> > appears to be incomplete at best, or even incorrect. Even if that's
> > typos as far as you are concerned, nevertheless it's hard to figure
> > out what you expect us to figure out if you don't show us code that
> > should be expected to work.
> >
> > Pedantry corner: Heckman is a
> > major figure, and Mills was a minor figure; either way their names  
> > get
> > initial capitals.
> >
> > Nick
> >
> >
> >
> > On 18 Sep 2012, at 20:42, shetty sandeep <getsane@hotmail.com> wrote:
> >
> >
> > > I am trying to estimate a heckman wage model using gmm. But I am
> > > facing a problem with the stata -gmm- command. I consistently get an
> > > error as "{ invalid name". The inverse mills ratio in the second
> > > stage moment condition seems to be the problem. My code is pasted
> > > below. It is likely that I may have some conceptual issues with gmm
> > > heckman. Any help is greatly appreciated.
> > >
> > > ~~~~~~~~~~~~code~~~~~~~~~~
> > > global xb "{b1}*tage+{b2}*sqage+{b3}*child18+{b4}*marry+{b5}*faminc+
> > > {b6}*famsize+{b7}*metro+{b8}*race+{b9}*firmsize+{b0}" //>0
> > > global phi "normalden($xb)" //>0
> > > global Phi "normal($xb)" //>0
> > > global mil "$phi/$Phi" //>0
> > > global a1 "($phi/($Phi*(1-$Phi)))*(trad-$Phi)" // derivative of the
> > > selection likelihood
> > > //eq 2
> > > global xb2 "{beta1=0.02}*tage+{beta2=-0.0004}*sqage+{beta3=-0.007}
> > > *marry+{beta4}*metro+{beta5}*race+{beta6=1}*firmsize+{beta0=1}" //
> > > wage equation
> > > gmm (eq1: $a1)(eq2: lwr1-$xb2-{gamma}*($phi/$Phi)), ///
> > > instruments(eq1: tage sqage child18 marry faminc famsize metro race
> > > firmsize) ///
> > > instruments(eq2: tage sqage marry metro race firmsize $phi $Phi)
> > > winitial(identity)
> > > ~~~~~~~~~~~~~~~~~~~~~~~~~~
> > >
> > > I have also tried using $mills as an instrument in which case I get
> > > an error as "numlist in operator invalid". I figured out that the
> > > division operator "/ " in instruments option of gmm is reserved for
> > > lags.
*
*   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/