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| From | Barbara Engels <engels.ba@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Significance of adjusted Heckman estimates |
| Date | Sun, 12 May 2013 12:41:08 +0200 |
Dear Sina, as far as I know, the second stage output of the Heckman command yields the estimated coefficients for the whole population, taking account of the censoring in the data, just as you mentioned. However, I am also interested in the estimated coefficients and hence the output variable conditional on selection. That is why I use the inverse Mills ratio to calculate the adjusted coefficients. However, I don't know how to check if these coefficients are significant. Any ideas on this? Thanks in advance! Cheers, Barbara On 10.05.2013, at 17:11, Ghotbi, Sina wrote: > Dear Barbara, > > I have worked with Heckman models, but I am not sure if I fully understand your concern. > > As far as I know, when you run a Heckman model in the idea world, the coefficient reported in the second stage (not selection) are already 'adjusted' for selection bias, and the standard errors are already reported as well. > > Let me know if I am missing the point of your question. > cheers, > Sina > > On 2013-05-10, at 2:51 AM, Barbara Engels wrote: > >> Dear Statalisters, >> >> I am estimating a two-step Heckman selection model (using Stata 10). The adjusted coefficients are calculated according to >> >> heckman dep indep, twostep select(select=indep exlcusionrestriction) mills(mills) >> >> predict select_xb, psel >> >> gen delta = mills*(mills + select_xb) >> >> gen b_indep1 = [dep]_b[indep1] - ([blfp]_b[indep1]*e(rho)*e(sigma)*delta) >> >> ci b_indep1 >> >> However, I don't know if this adjusted coefficient is statistically significant . indep1 appears both in the regression and in the seleciton equation, being significant in the regression and insignificant in the selection equation. >> >> >> How can I tell if the adjusted coefficient on indep1 is statistically significant? >> >> >> Any help is greatly appreciated! >> >> Cheers, >> >> Barbara >> >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/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/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/