My data consists of individual level observations nested within countries over time. I would like to use multilevel models along with some sort of selection model.
I have three related questions.
1) Are there any issues or concerns with using a Heckman selection model twice?
I have a model with two selection stages. While I can't conceive of any reason why this shouldn't work, I also haven't seen any examples of a heckman selection model being used twice. Assume I also have the necessary exclusion restrictions.
2) My primary tool is R. There exists a package, sampleSelection, but my understanding is that algorithm it uses may not be appropriate for panel data / multilevel models.
In stata, my understanding is the aforementioned is possible, but I'm not sure a package in R exists for doing heckman selection with multilevel models.
3) Are there better ways for accomplishing what I am trying to do? Perhaps using instruments alone would be better? If so, are there any R packages you could point me to? If there are no R packages, I am still interested in this answer since I would be happy to code something if necessary.