Search found 35 matches

by oksanakim
Thu Sep 21, 2017 12:40 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

I estimate the first stage Probit (selection stage) (without a code, built-in options in Eviews) and then compute the Inverse mills ratio using the code. Then, I estimate OLS (built-in, not a code) and explicitly include a previously stored Imills as an additional explanatory variable. I don't think...
by oksanakim
Thu Sep 21, 2017 12:20 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

But this only confirms what I mentioned earlier that Heckit and manual estimation return completely different results. :D
by oksanakim
Thu Sep 21, 2017 12:15 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

Thank you, the two codes return the same results for Imills series.
by oksanakim
Thu Sep 21, 2017 11:58 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

Not really, these models are widely used in academic publications, some streams of research assume they are used no matter what. Thank you for the example of the program. Please confirm, is the below program to compute Inverse Mills ratio correct? Thanks a bunch :D eq01.makeresid ordinary eq01.maker...
by oksanakim
Thu Sep 21, 2017 11:00 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

I also wonder why a coefficient on Inverse Mills ratio is not reported when Heckit is used. It's kind of a big deal to discuss whether or not it is significant, at least for academic publications. Thank you.
by oksanakim
Thu Sep 21, 2017 10:58 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

I used Heckam two-step option.
by oksanakim
Thu Sep 21, 2017 10:21 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

I see... Is the command to compute the Inverse Mills raito at least correct? Thanks Startz.
by oksanakim
Thu Sep 21, 2017 10:17 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

Thank you again! I have a related quesiton/observation. I also estimated Heckit in Eviews and then did the same manually: I estimated the first-stage probit model, then computed Inverse mills ratio using one of the commands provided in the forum earlier, and then used it as a dependent variables in ...
by oksanakim
Thu Sep 21, 2017 9:54 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Re: Coputation of fitted values

Thank you Startz! Do you suggest that the second-stage estimation will be incorrect? The reason I fell for the manual estimation is because the Eviews' built in option returns negative R-squared and some menaingless results, compared to standard OLS estimation. This is why I decided to try manual es...
by oksanakim
Thu Sep 21, 2017 9:40 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 212

Coputation of fitted values

Dear Moderators and Eviews users, I am trying to estimate a 2SLS in two stages, rather using the Eviews' built in option. In the first stage, I regress my endogenous variable Femaledir on all exogenous variables and the instrument, as suggested. How do I then compute fitted values for Femaledir from...
by oksanakim
Wed Sep 20, 2017 7:31 pm
Forum: Estimation
Topic: Inverse Mills raito estimation
Replies: 0
Views: 26

Inverse Mills raito estimation

Hello I have used the Heckit in Eviews 9 but the output is very doubtful, so I decided to estimate the first-stage probit model first and then put Inverse Mills ratio in the second equation estimated with OLS - kind of old style before Heckit was not in Eviews. I found and used a code to compute Inv...
by oksanakim
Wed Sep 20, 2017 5:45 pm
Forum: Estimation
Topic: Correct specification for IV when variables are interacted
Replies: 0
Views: 21

Correct specification for IV when variables are interacted

Hello All I very much appreciate your help on the following. My regression is Y=a0+a1*x1+a2*x1*x2+controls (simplified). I believe that x1 is endogenous and would like to estimate the regression using the 2SLS with the instrumental variable approach. I found Z that should be a good instrument. Now, ...
by oksanakim
Wed Sep 20, 2017 7:24 am
Forum: Econometric Discussions
Topic: Difference in J-stats under TSLS
Replies: 1
Views: 52

Re: Difference in J-stats under TSLS

I forgot to mention that upob TSLS estimation using and IV variable, the previously significant result on the endogenous variable became insignificant, and the R-sq became negative... Does this all suggest the instrument I chose makes no sense? Thank you.
by oksanakim
Wed Sep 20, 2017 7:02 am
Forum: Econometric Discussions
Topic: Difference in J-stats under TSLS
Replies: 1
Views: 52

Difference in J-stats under TSLS

Good morning All I have run the TSLS because one of the variables may be endogenous. I am not sure how to interpret the results of the Regressor endogeneity test: Value df Probability Difference in J-stats 1.737618 2 0.4195 J-statistic summary: Value Restricted J-statistic 1.737618 Unrestricted J-st...
by oksanakim
Wed Sep 13, 2017 8:46 am
Forum: Econometric Discussions
Topic: Binary estimation
Replies: 0
Views: 59

Binary estimation

Hello

In the Binary estimation settings, how do I know when to use "extreme values" model and if it would be preferred to Probit and Logit specifications. Thank you.

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