# 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

30 questions
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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 ...
0answers
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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 ...
0answers
36 views

### 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 ...
0answers
17 views

### 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 ...
0answers
49 views

### 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 ...
0answers
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 ...
0answers
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 ...
1answer
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 ...
0answers
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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59 views

### Comparing experimental conditions with different explanatory variables

I have a five condition dataset where all conditions share variablespostscore,prescore, and ...
0answers
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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816 views

### 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 ...
1answer
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 ...
0answers
23 views

### 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 ...
1answer
70 views

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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 ...
1answer
162 views