On Identification and Estimation of Heckman Models

17 Pages Posted: 23 Jul 2020 Last revised: 17 Mar 2021

See all articles by Jonathan A Cook

Jonathan A Cook

U.S. Securities and Exchange Commission; affiliation not provided to SSRN

Joon-Suk Lee

Financial Industry Regulatory Authority (FINRA)

Noah Newberger

Public Company Accounting Oversight Board; Oeste Division of Research & Statistics

Date Written: March 1, 2021

Abstract

This article presents a Stata module to enable fixing the value of the correlation between the unobservables in Heckman models. These commands can solve two practical issues. First, for situations in which a valid exclusion restriction is not available, these commands enable exploring how the results could be affected by sample-selection bias. Second, stepping through values of this correlation can verify whether the global maximum of the likelihood function has been found. We provide several Stata commands to estimate these and related models with a fixed value of the correlation between the unobservables. These commands are available on the Boston College Statistical Software Components (SSC) archive and can be installed by typing ssc install fixedrho in Stata.

Keywords: Heckman model, sample-selection correction, endogenous treatment, bivariate probit, Stata

Suggested Citation

Cook, Jonathan A and Lee, Joon-Suk and Newberger, Noah, On Identification and Estimation of Heckman Models (March 1, 2021). Available at SSRN: https://ssrn.com/abstract=3639727 or http://dx.doi.org/10.2139/ssrn.3639727

Jonathan A Cook (Contact Author)

U.S. Securities and Exchange Commission ( email )

affiliation not provided to SSRN

Joon-Suk Lee

Financial Industry Regulatory Authority (FINRA) ( email )

United States

Noah Newberger

Public Company Accounting Oversight Board ( email )

1666 Kase Street
Washington, DC 20006
United States

Oeste Division of Research & Statistics ( email )

8 The Green,
Suite #8342
Dover, DE 19901
United States

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