Heckman (Heckman selection model)

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troelf
Posts: 3
Joined: Thu Jan 28, 2010 9:03 am

Re: Heckman (Heckman selection model)

Postby troelf » Fri Nov 19, 2010 7:03 am

I guess it's some issue with the data, maybe the procedures don't allow missing values? because regardless of how i specify the model the error always occurs..

attached is the workfile, e.g., with the selection equation being: case1 sat1 revbci_12 and response equation: revdiff ac1 cc1 distance g2g

many thanks!
Attachments
resp.wf1
(477.52 KiB) Downloaded 472 times

EViews Gareth
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Re: Heckman (Heckman selection model)

Postby EViews Gareth » Fri Nov 19, 2010 9:39 am

It was due to missing values. I've uploaded a new version that will fix this for you for the two-step model. The ML version will take a bit more thought.
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Francesco10
Posts: 1
Joined: Wed Apr 06, 2011 1:07 am

Re: Heckman (Heckman selection model)

Postby Francesco10 » Thu Apr 07, 2011 12:00 am

Dear Gareth,

I am a novice to E-views and the Heckman Regression. I am working on a matched sample analysis on the impact of financial investors on the companies they buy. My Selection Equation is

pevsdb (Dummy investor) ma_tm1 (employment before investor entry) um_tm1(sales before investor entry) mw_egt (EBIT/sales) einstieg_jahr_zentr (year entry investor) alter (age company) mw_egt_marge (mean EBIT sales) br_1 br_25 br_26 br_28 br_2x br_3 br_4 br_6 (industry dummies) um_wachs_tm1(sales growth before investor entry) ma_wachs_tm1(employment growth before entry).

To asses the impact of financial investors after selection I run the response equation

cagr_ma_xbis2009 (employment growth) syn (syndicated investment dummy) inland_ausland (foreign investor dummy) min_mehr (majority share dummy).

The Investor dummy is supposed to give me an unbiased effect of the investor. One Problem I encounter is that I can't include an intercept in neither equation. I always get a near singuler matrix error or a negative value error.

Finaly I am not sure, if I am supposed to use maximum liklihood or two-step. Any reference literature or manual?

Desperate for help!

EViews Gareth
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Re: Heckman (Heckman selection model)

Postby EViews Gareth » Thu Apr 07, 2011 8:19 am

I believe Greene (Econometric Analysis) has details on the ML and two-step procedures.

You're probably getting a singular matrix because you've included a full set of dummies. You've fallen into the dummy variable trap.
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elderlyman
Posts: 2
Joined: Tue Apr 19, 2011 9:53 am

Re: Heckman (Heckman selection model)

Postby elderlyman » Tue Apr 19, 2011 10:04 am

I'm trying to install the Heckman Add-in, but am receiving an error when trying to do so. I am able to bring it into Eviews 7 which then opens a dialog box, but when I try to finish the installation process Eviews gives me the following Error Message: Invalid format string specified. Is there an error in the Heckman Add-in or is there something I need to do differently?

EViews Glenn
EViews Developer
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Re: Heckman (Heckman selection model)

Postby EViews Glenn » Tue Apr 19, 2011 10:57 am

What is the date on your version of EViews 7.1? (Help/About EViews)

elderlyman
Posts: 2
Joined: Tue Apr 19, 2011 9:53 am

Re: Heckman (Heckman selection model)

Postby elderlyman » Tue Apr 19, 2011 12:22 pm

It shows Standard Edition - Jan 20 2010

EViews Glenn
EViews Developer
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Re: Heckman (Heckman selection model)

Postby EViews Glenn » Tue Apr 19, 2011 1:44 pm

I think you need to update. You may even have EViews 7 not EViews 7.1 (the latter is required for Add-ins). Check the Help/About EViews. It should say 7.1. If not, go to the website and download the 7.1 *Upgrade* Installer. Otherwise, just click on Help/EViews update to update your copy of 7.1.

miretta
Posts: 1
Joined: Sun Aug 21, 2011 10:22 pm

Re: Heckman (Heckman selection model)

Postby miretta » Sun Aug 21, 2011 10:30 pm

Hello,

I ran Heckman regressions using the Eviews add-in, but I realized that the add-in does not provide measures for the goodness of fit for the selection and response regressions.
So I reran the selection equation as a typical Probit to get regression statistics - but I am having problems with calculating the inverse Mills ratio.
I tried calculating the IMR as suggested in another thread in this forum, but there seems to be a problem with "division by zero -> missing data".

Any suggestions of what I should do in this case? How can I measure the goodness of fit of the Heckman regressions?

Thank you so much in advance for your feedback.

Kind regards,
Miret

ectrix
Posts: 1
Joined: Sat May 04, 2013 12:44 pm

Re: Heckman (Heckman selection model)

Postby ectrix » Sat May 04, 2013 12:53 pm

Hello,

I have tried to use the Heckman 2 step procedure without success, it says: "Matrix dimensions too large". I have two input matrices, one with 41006 and one with 36006 observations. I have checked what the problem is by reducing the explanatory variables to 1, which still gives a matrix dimension size error. Is there any way to get around this dimension error?

EViews Gareth
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Re: Heckman (Heckman selection model)

Postby EViews Gareth » Sat May 04, 2013 4:14 pm

Use EViews 8 :)
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muratt
Posts: 1
Joined: Wed Aug 21, 2013 2:34 pm

Re: Heckman (Heckman selection model)

Postby muratt » Wed Aug 21, 2013 2:58 pm

EViews Gareth wrote:Use EViews 8 :)

Hi! I'm trying use one, but there's some technical issues. I need to estimate the effect of credit ratings on IPO underpricing (independent variable). The equation for that is: UNDERPRICING=intercept+beta(set of explanatory variables)+lamda(CREDIT RATIING DUMMY)+error term. Since assignment of credit rating is not random process, the estimation should be done by using Heckman's 2-step model. CREDIT RATING DUMMY itself estimated using probit model (probability of being rated). And this where i'm lost on how exactly to fill in the dialogue boxes. Any suggestions?

After filling in the dialogue boxes,

Response equation: Underpricing c SALES + UNDERWRITER'S REPUTATION + CREDIT RATING DUMMY

Selection equation: CREDIT RATING DUMMY=LEVERAGE + ALTMAN'Z+AGE

eviews tells me this: "Near singluar matrix" - does anyone know what does it mean? and how to solve this problem?

sirooskhadem
Posts: 19
Joined: Tue Nov 19, 2013 12:23 am

Re: Heckman (Heckman selection model)

Postby sirooskhadem » Wed Jan 22, 2014 10:09 pm

I think you have perfect multicollinearity problem (dummy trap) amoung your dummies try to drop one of them or in some cases you may also drop c.


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