Fitting problem in Heckman selection

[trubador]

When you try to get the forecasts from Heckit procedure, it generates an error:

Code: Select all

wfopen http://www.stern.nyu.edu/~wgreene/Text/Edition7/TableF5-1.txt equation eq01.heckit ww c ax ax^2 we cit @ lfp c wa wa^2 faminc we (k618+kl6)>0 eq01.fit wwf eq01.fit(i) index

This only happens when the selection equation includes a constant, so I believe the problem lies in the specification of index:
I_Y = (C(6)*C + C(7)*WA + C(8)*WA^2 + C(9)*FAMINC + C(10)*WE + C(11)*(K618+KL6)>0)

Also, the expected dependent variable equation reads:
WW = I_Y*( C(1) + C(2)*AX + C(3)*AX^2 + C(4)*WE + C(5)*CIT + C(13)*C(12)*@DNORM(I_Y)/@CNORM(I_Y))

I believe c(12) and c(13) should be transformed back to sigma and rho. The output already prints the transformed values, but these are not stored in the coefficient vector (i.e. no c(14) and c(15)).

According to the output @atan(rho)*2/pi = c(13), but actually @atan(c(13))*2/@acos(-1) = rho. This is because c(13) denotes rho*, not the rho itself. I think it would be useful to make this distinction more explicit or simply replace @atan(rho)*2/pi with @tan(rho*pi/2).

[EViews Glenn]

Thanks. We'll take a look.