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Questions tagged [two-step-estimation]

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

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GMM estimator: Two-step vs. Iterated estimator

I'm currently trying to understand the differences between the two-step efficient GMM estimator, and the Iterated GMM estimator. As I understand the T-S, is based on the First-step and depends on the ...
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Is this the right way to use 'two-parts model with recycled prediction?'

I'm researcher in health care study. 'Two-parts model' was used in severals healthcare studies. For example, when the events(e.g. readmission) occured in specific subgroup in population, only '...
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How to perform inference on inverse Mills ratio in Heckit estimation?

I want to estimate log(wages). Most wage estimations suffer from sample selection bias. So I used the two step heckit procedure to correct for it. The problem is that I get an insignificant inverse ...
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Using random intercepts in a multilevel model as dependent variables in a linear model

I have a mixed model with 3 levels: individual, city, and state, and so I get random intercepts for both cities and states. I understand that since cities are nested in their state, their intercepts ...
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Estimate Tobit 5 model in two steps

I have the following phenomenon to be modeled. In the first stage, a firm chooses a course of action from a choice set of three options. The probability of choosing a particular option is hypothesized ...
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How to Estimate Treatment Effects using Heckman two steps (Heckit)?

I need a help on how to find a treatment effects using Heckman two steps method (Heckit), I need to find ATE (Average treatment Effects), TT (Treatment on treated) and MTE. I tried to do a simulation ...
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345 views

Interaction Term in Fuzzy RD

I'm hoping someone can help me understand the intuition behind the interaction term in a fuzzy RD model. The setup is as follows: $x$ = rating variable with discontinuity at $x = k$ $D$ = dummy=1 if ...
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212 views

Goodnes of Fit Measure for Heckman Selection Model

I am working with a two-step heckman selection model. In the first step the selection occurs based on a probit model, in the second step the mean equation is fitted with a linear model where the ...
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241 views

Omitting a variable in IV estimation

I have an instrumental variable (IV) estimation where I use Z as an instrument for treatment D, to estimate a treatment effect of D on Y. After certain discussion, I find that there might be another ...
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311 views

Fitting a fixed effect model to the residuals from a mixed effects model

In some statistical analyses (ie genetics), it may makes sense to perform a two-step regression analysis. In this analysis, the dependent variable is regressed against several independent variables. ...
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140 views

Estimation of Covariance Matrix of Two-Sample-Two-Stage-Least-Squares Estimator

My model of interest is given by $Y_1 = X_1\beta + \epsilon_1$ with $Y_1\in\mathbb{R}^{n_1}$ , $X_1\in\mathbb{R}^{n_1}$ , $\beta\in\mathbb{R}$ and $\epsilon_1\in\mathbb{R}^{n_1}$. However, $X_1$ can ...
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Comparing experimental conditions with different explanatory variables

I have a five condition dataset where all conditions share variablespostscore,prescore, and ...
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155 views

Generating variance estimates for Estimated Regression Models (EDV) (vwls)

I am trying to explain the expectation of university graduation among adolescents of a number of countries. My dependent variable is dichotomous, since they formulate their expectation in terms of ‘...
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Adjusting Standard Error for Imputed/Generated Regressors

This is my first question, so I hope this is a valid question. I am surprised that I have seen only few questions (and no answer helping me out) referring to the adjustment of variance estimators in ...
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424 views

heckman two step, a basic question

This is probably a very basic questions, but I cannot find a straight forward answer anywhere. I have a series of data were a selection method (like Heckman two-step) is necessary. Is it a basic ...
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unified estimation of discrete Markov Model

Background I have a multivariate dataset, say M x N, where M is the number of variables and N is the number of samples. Now, the pattern of dependencies between the M variables changes across the N ...
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70 views

What is this called?

We have several time series: $Y, X_1, X_2, X_3, ..., X_n$ The steps taken are: Regress $X_2, X_3, ..., X_n$ on $X_1$ to get residuals of each $X_{(>1)}$ Regress $Y$ on $X_1, r_{X_2}, r_{X_3}, ...,...
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Cluster analysis in SPSS

I started learning cluster analysis (using SPSS) and I need some help in a practical problem. Given the following variables: The respondents were asked to indicate the importance of the following ...
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1answer
895 views

Hausman test for 2SLS vs 3SLS

Can we do a Hausman test for 2SLS vs 3SLS? I know that we can do a BP test for the cross-equation correlation of errors, but what should the null and alternative hypotheses of a Hausman test be?
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1k views

How to combine heckman selection and binary endogenous variable in a two-step way?

I want to fit a probit model with a binary endogenous variable and heckman sample selection problem, it's something like ...
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477 views

tobit two-stage in R

I'm working with a dependent variable $y_i \in [0,1]$. I have a single endogenous explanatory variable $w_i \in [0, 1]$ with corresponding instrument $z_i \in \{0,1\}$. Suppose further that I have a ...
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426 views

2-stage Heckman instrumental variable estimation

I am working on my thesis. My main regression model is the following: $Y=x_1*{\rm Payment}+x_2*{\rm Country}+x_3*{\rm Industry}...$ All independent variables are dummy / binary variables. In a next ...
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680 views

Regression estimate of a non-negative variable

I have to estimate linear weight $\beta$ for regression $Y \sim \mathbf{X}$, where $Y$ are non-negative samples. If I perform vanilla regression (lets assume ridge regression) it will find $\beta$ ...
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1answer
2k views

Instrumental variable Tobit in R

I have a data generating process of the form: ...
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1answer
1k 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 ...
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1answer
183 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 ...
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252 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 ...
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7k views

Inverse Mills ratio after OLS

Short version of the question: 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 ...
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1answer
162 views

About Identification in a 3 equation SEM

I got this example and I was wondering about a certain statement: $$ \begin{aligned} (I) \ y_1 &= \alpha_{12}y_2 + \alpha_{13}y_3 + \beta_{11}z_1 + u_1 \\ (II) \ y_2 &= \alpha_{21}y_1 + \...
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1answer
3k 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 ...