Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: Instrument Validity tests for Heckman 1979
From
"Kyrizi, Andri" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: Instrument Validity tests for Heckman 1979
Date
Wed, 12 Mar 2014 16:04:47 +0000
Professor Schaffer,
I checked it but I wasn't sure if the selection bias is controlled for if you do not specify the group.
Thank you again,
All the best,
Andri
________________________________________
From: [email protected] [[email protected]] on behalf of Schaffer, Mark E [[email protected]]
Sent: 12 March 2014 15:56
To: [email protected]
Subject: RE: st: Instrument Validity tests for Heckman 1979
Andri,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Kyrizi, Andri
> Sent: 12 March 2014 15:51
> To: [email protected]
> Subject: RE: st: Instrument Validity tests for Heckman 1979
>
> Dear Professor Schaffer,
>
> Thank you so much for your reply and your examples.
> Everything is so much clearer now.
>
> I have one last question:
>
> After the select option shouldn't I specify the variable that I want to control
> for the selectivity bias (i.e a dummy variable indicating Unemployed and
> Employed individuals)?
> heckman lnEarnings Schooling Experience Exp2 Male married, select (
> Unemp= Male married children )
If you check the -heckman- help file you will see both syntaxes are allowed.
--MS
> All the best
> Andri
> ________________________________________
> From: [email protected] [owner-
> [email protected]] on behalf of Schaffer, Mark E
> [[email protected]]
> Sent: 11 March 2014 15:16
> To: [email protected]
> Subject: RE: st: Instrument Validity tests for Heckman 1979
>
> Andri,
>
> > -----Original Message-----
> > From: [email protected] [mailto:owner-
> > [email protected]] On Behalf Of Kyrizi, Andri
> > Sent: 11 March 2014 14:22
> > To: [email protected]
> > Subject: RE: st: Instrument Validity tests for Heckman 1979
> >
> > Dear all,
> >
> > In regards to yesterday's question and answer,
> >
> > Does anyone know if I could use a two step heckman approach instead of
> > the treatreg approach?
> > And test it using the -ltrest-?
>
> You can't use -lrtest- after the Heckman 2-step estimator because -heckman-
> with the twostep option doesn't save a log likelihood.
>
> But there's probably no particular reason to use the two-step estimator
> anyway when the ML estimator is available.
>
> So estimate your model using -heckman- with the default ML estimator, and
> then do an overid test by comparing it to a just-identified version, where
> just-identification comes from the functional form. And if you want to test
> the validity of some of the exclusion restrictions, do an LR test with/without
> them.
>
> Here are three examples using Stata's sample womenwk dataset. The first
> compares the overidentified version with 2 exclusion restrictions (and the
> functional form restriction) to one which is just-identified via functional form.
> The second and third compare the overidentified version with 2 exclusion
> restrictions to versions with just one exclusion restriction. The output of the
> estimations is suppressed just to make things a bit more readable. The "m"
> and "c" at the end of the names of the saved estimation results refer to
> "married" and "children".
>
> HTH,
> Mark
>
> . webuse womenwk
>
> .
> . qui heckman wage educ age, select(married children educ age)
>
> . est store overidmc
>
> . qui heckman wage educ age, select(educ age)
>
> . est store justid
>
> .
> . lrtest overid justid
>
> Likelihood-ratio test LR chi2(2) = 358.82
> (Assumption: justid nested in overid) Prob > chi2 = 0.0000
>
> .
> . qui heckman wage educ age, select(married educ age)
>
> . est store overidm
>
> .
> . lrtest overidmc overidm
>
> Likelihood-ratio test LR chi2(1) = 350.01
> (Assumption: overidm nested in overidmc) Prob > chi2 = 0.0000
>
> .
> . qui heckman wage educ age, select(children educ age)
>
> . est store overidc
>
> .
> . lrtest overidmc overidc
>
> Likelihood-ratio test LR chi2(1) = 43.43
> (Assumption: overidc nested in overidmc) Prob > chi2 = 0.0000
>
>
> >
> > Would that still be correct?
> >
> > All the best,
> > Andri
> >
> > ________________________________________
> > From: [email protected] [owner-
> > [email protected]] on behalf of Kyrizi, Andri
> > [[email protected]]
> > Sent: 10 March 2014 18:09
> > To: [email protected]
> > Subject: RE: st: Instrument Validity tests for Heckman 1979
> >
> > Hello Prof Antonakis,
> >
> > Thank you so much for your reply and help!
> >
> > All the best,
> > Andri
> > ________________________________________
> > From: [email protected] [owner-
> > [email protected]] on behalf of John Antonakis
> > [[email protected]]
> > Sent: 10 March 2014 17:35
> > To: [email protected]
> > Subject: Re: st: Instrument Validity tests for Heckman 1979
> >
> > Hi:
> >
> > See the following (if you are talking about an overidentification test):
> >
> > http://www.stata.com/statalist/archive/2010-10/msg00915.html
> >
> > A -heckman- and -treatreg- (now -etregress-) basically do the same
> > thing, the difference being that the former has a truncated sample on y.
> >
> > So, it seems to me you can use the -ltrest- as explained by Mark Schaffer.
> >
> > Best,
> > J.
> >
> > __________________________________________
> >
> > John Antonakis
> > Professor of Organizational Behavior
> > Director, Ph.D. Program in Management
> >
> > Faculty of Business and Economics
> > University of Lausanne
> > Internef #618
> > CH-1015 Lausanne-Dorigny
> > Switzerland
> > Tel ++41 (0)21 692-3438
> > Fax ++41 (0)21 692-3305
> > http://www.hec.unil.ch/people/jantonakis
> >
> > Associate Editor:
> > The Leadership Quarterly
> > Organizational Research Methods
> > __________________________________________
> >
> > On 10.03.2014 18:06, Kyrizi, Andri wrote:
> > > Dear Statalisters,
> > >
> > > I would like to test the validity of my instruments after using the
> > > Heckman's
> > (1979) two-step sample selection model. In particular I want to
> > correct for the selectivity bias for using only employed individuals.
> > >
> > > I've searched everywhere to find a way to test them but could't find
> > anything. I am aware that a topic on 'diagnostics for the treatreg procedure'
> > exists but I don't think it relates to my question.
> > >
> > > I would really appreciate any guidance you could give me!
> > >
> > > Many thanks,
> > > Andri
> > >
> > >
> > > *
> > > * 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/
> >
> > *
> > * 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/
>
>
> -----
> Sunday Times Scottish University of the Year 2011-2013 Top in the UK for
> student experience Fourth university in the UK and top in Scotland (National
> Student Survey 2012)
>
>
> We invite research leaders and ambitious early career researchers to join us
> in leading and driving research in key inter-disciplinary themes.
> Please see www.hw.ac.uk/researchleaders for further information and how
> to apply.
>
> Heriot-Watt University is a Scottish charity registered under charity number
> SC000278.
>
>
> *
> * 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/
-----
Sunday Times Scottish University of the Year 2011-2013
Top in the UK for student experience
Fourth university in the UK and top in Scotland (National Student Survey 2012)
We invite research leaders and ambitious early career researchers to
join us in leading and driving research in key inter-disciplinary themes.
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* 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/