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| From | Barbara Engels <engels.ba@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Combining ivregress and heckman |
| Date | Thu, 16 May 2013 19:49:10 +0200 |
my instruments are year-to-year variation of the endogenous variables, alongside a handful of exogenous RHS variables from the original regression. On 16.05.2013, at 19:44, Austin Nichols wrote: > Barbara Engels <engels.ba@gmail.com>: > So you have a whole list of endogenous RHS variables? What are your instruments? > > On Wed, May 15, 2013 at 8:28 AM, Barbara Engels <engels.ba@gmail.com> wrote: >> it's a standard wage equation. the independent, presumably endogenous variables are employment status shares, i.e. for example the share of months that an individual worked full-time during a year, the share of months that it was unemployed etc. ... . Hence I have observations on x and xe for both observed and missing wages. My selection dummy is "labor force participation" which I define as being =1 if the hours worked are positive and =0 for zero hours worked. I assume that the employment status variables are correlated with the error term since I assume that they are correlated with unobserved individual (fixed) effects. >> >> >> >> On 15.05.2013, at 14:19, Austin Nichols wrote: >> >>> Barbara Engels <engels.ba@gmail.com>: >>> >>> Do you have observations on x and xe for the observed and missing y? >>> E.g. are you worried about selection into the labor market, and your >>> data has workers and nonworkers? Can you specify what the selection >>> process is, and what the nature of the endogeneity in xe is? >>> >>> >>> On Wed, May 15, 2013 at 7:54 AM, Barbara Engels <engels.ba@gmail.com> wrote: >>>> Thanks for this comment. However, I am not sure I understood it correctly. >>>> Say that I want to estimate >>>> >>>> y x xe >>>> >>>> where y is the dependent, x and xe the independent variables, where xe are the independent variables presumed to be endogenous. >>>> >>>> The Heckman two--step is described by >>>> >>>> heckman y x xe (selection= x xe excl) >>>> >>>> where excl are the exclusion restrictions and selection is some binary selection variable. >>>> >>>> the IV would look something like >>>> >>>> ivregress 2sls y x (xe=instrumentals). >>>> >>>> Are you saying that I should use "instrumentals" instead of xe in the selection equation, then predict using predict select_xb, psel (=p_hat) and then just add psel to the instruments in ivregress, so that the latter becomes >>>> >>>> ivregress 2sls y x (xe=instrumentals p_hat)? >>>> >>>> I am not sure this is what you meant. thanks in advance? >>>> >>>> >>>> On 15.05.2013, at 13:33, Austin Nichols wrote: >>>> >>>>> Barbara Engels <engels.ba@gmail.com>: >>>>> There are some bad suggestions in that thread, IMHO. You can use >>>>> -ivregress- or -ivreg2- (SSC) to correct for bias of several >>>>> varieties; excluded instruments used in the selection equation can be >>>>> used in a first stage probit, then predict to make a new generated >>>>> instrument to accompany your other excluded instruments. I.e. use >>>>> predicted probability of y1, call it p_hat, as an instrument for y1 at >>>>> the same time you use z as an instrument for x. >>>>> >>>>> On Wed, May 15, 2013 at 5:33 AM, Barbara Engels <engels.ba@gmail.com> wrote: >>>>>> Dear Statalist users, >>>>>> >>>>>> I want to estimate a model that accounts both for sample selection like Heckman Two-Step, and endogeneity like ivregress. >>>>>> The dependent variable is continuous. The variables to be instrumented appear both in the normal regression and in the selection equation in the Heckman model. >>>>>> I found some hints on Statalist (http://www.stata.com/statalist/archive/2009-08/msg00219.html), but didn't quite understand how to perform the combined "ivheckman" after all. > > * > * 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/