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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47 views

2SLS or IV with a tobit distribution in the first stage

I would like to use a two stage least squares approach (2SLS), where the first stage would benefit from a Tobit specification. I cross posted this on stackoverflow because there might be quite some ...
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25 views

Two part model - conditional expectation

I am working on a model to predict a continuous target variable $Y$, given a feature set $F$. $Y$ is product of two continuous variables - $A$ and $B$, where $A \epsilon [0, 1]$ and $B \epsilon (0, \...
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21 views

Panel data with country- and time-specific fixed effects

I am wondering about the estimation of the fixed effects model. In the paper Reece & Sam (2012), it is just given that the estimation is done by using the linear probability and OLS models in the ...
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How to compute optimal weighting matrix of two step GMM when number of moments is greater than number of observations?

I wonder how I should compute the feasible weighting matrix of the two step GMM when the number of moments is greater than the number of observations? As showed in the GMM wiki, the optimal weighting ...
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Two stage model where both dependent variables are dichotomous

New here so apologies if I do not explain myself as well as I should. I have survey data of 2 decisions that participants make: the decision to vaccinate themselves (yes/no) and their children (yes/...
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K-means clustering analysis when items are on different Likert scale?

I have a data of 300 participants who all filled in a questionnaire. I want to cluster these people regarding different features (burnout, engagement etc.). Some of the measurements are on a likert ...
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90 views

Two step regression using group effects and DAG

Consider the following model $$y_i = \sigma_{c(i)} + \mathbf x_i^\top\beta + u^y_i $$ $$\sigma_{c} = z_c\lambda + \eta_c$$ where for all $i$ $$\mathbb E[u^y_i \lvert x_i] = 0$$ Data is given for a ...
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143 views

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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150 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 ...
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682 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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364 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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1answer
520 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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399 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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182 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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72 views

Comparing experimental conditions with different explanatory variables

I have a five condition dataset where all conditions share variablespostscore,prescore, and ...
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223 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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1answer
644 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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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 ...
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74 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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399 views

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
1k 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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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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561 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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493 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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792 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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2k views

Instrumental variable Tobit in R

I have a data generating process of the form: ...
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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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233 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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307 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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8k 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
171 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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4k 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 ...