Is it possible to compare coefficients across an OLS model and a Heckman model that has the same covariates (plus the inverse Mills ratio)?
The coefficient of my main variable of interest changes when I run the Heckman model. This is to be expected as I indeed have a severe sample selection problem. What I wonder is if I could test for the statistical significance of this change. That is, can I compare the coefficients reported by the OLS and Heckman models?
I'm using STATA for my analysis.