Heckman Std. Error
Posted: Tue Jan 13, 2009 7:55 am
Hi there,
I'm running a test on the supply of a variable amongst agents and I wanted to use a Heckman two step to split my data into an eligibility decision for supply and an amount decision for nonnegative values.
I was going to run a probit and the use the inverse mills ratio in the second stage of the regression. Do I then have to adjust the std. errors to account for the fact that I'm estimating the coefficient on the inverse mills ratio? If so, is there a way to do this on eviews? Could you let me know if there is?
Thanks very much,
Macky
I'm running a test on the supply of a variable amongst agents and I wanted to use a Heckman two step to split my data into an eligibility decision for supply and an amount decision for nonnegative values.
I was going to run a probit and the use the inverse mills ratio in the second stage of the regression. Do I then have to adjust the std. errors to account for the fact that I'm estimating the coefficient on the inverse mills ratio? If so, is there a way to do this on eviews? Could you let me know if there is?
Thanks very much,
Macky