Models in which a complicated function of data is estimated in the first step, and plugged again into another estimation model of primary interest in the second step
1
vote
1answer
33 views
Heckman sample selection vs. OLS
If the mills ratio of a Heckman selection model (with/without exclusion restriction) is not significant, shall I prefer to estimate my model with OLS instead?
Or is it better to use the estimates from ...
3
votes
1answer
77 views
Question about inverse in a two-step estimator as a joint GMM-estimators approach
I'm reading Newey & McFadden - Large sample estimation and hypothesis testing (in the Handbook of Econometrics, Volume 4, 1994, page 2178).
My model which I'm interested in has some former ...
0
votes
1answer
69 views
First stage of TSLS and the matrix of instruments W
If we assume we have 2 equations and each equation contains the other dependent variable.
$y_1 = \beta_0 + \beta_1 y_2 + \beta_2 z_1 + u_1$
$y_2 = \alpha_0 + \alpha_1 y_1 + \alpha_2 z_2 + u_2$
For ...
1
vote
0answers
877 views
Inverse Mills ratio after OLS
tl;dr:
Is it possible to create a dependent variable in the first step of the Heckman Selection model such that it is possible to obtain the values for the calculation of the Inverse Mills Ratio for ...
2
votes
0answers
52 views
About Identification in a 3 equation SEM
I got this example and I was wondering about a certain statement:
$$
\begin{aligned}
y_1 &= \alpha_{12}y_2 + \alpha_{13}y_3 + \beta_{11}z_1 + u_1 \\
y_2 &= \alpha_{21}y_1 + \beta_{21}z_1 + ...
0
votes
1answer
258 views
How to correct for generated regressor bias?
Dear Stack Exchange heroes,
For my thesis I am writing a paper on the financial crisis. In my model, I use two regressions, which look like this:
$$CONF = α + β_1 DEF_t + β_2 DIV_t + β_3 INF_t + β_4 ...
