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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Heckman two-stage procedure inverse mills ratio. How can it be interpreted?

I need your help. I have to summarize the method of the Heckman two-stage procedure in the Paper "The Influence of Corporate Sustainability Officers on Performance". As far as I understood ...
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Is there any example of 2-step predictive model?(i.e. classification model coupled with regression models for each subclass)

I have a large dataset with 10,000+ individuals and many many biological features (>5000). And I want to use these features to build a linear model (e.g. elastic net) to predict their clinical ...
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Hausman test fails to reject the H0 (and the instrument is not weak), should I still use the 2SLS based on knowledge that the variable is endogenous?

I have two questions. I am conducting the Hausman test to check the endogeneity of a variable. If the Hausman test fails to reject the null hypothesis, there is no difference between OLS (my reference ...
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What is an initial consistent estimator and how do I find one?

When maximizing a likelihood function $L(\psi)$, the gradient-based optimization procedure is generally $$ \tag{5.1} \hat{\psi}_{r+1} = \hat{\psi}_{r} + \left| I^{*}(\hat{\psi}_{r}) \right|^{-1} D \...
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What is the effect of an omitted variable in the first stage of an IV/2SLS

Background Let me start with the fact that I read, this post, this post and this post. These questions deal with omitting exogenous variables from the main equation in the first stage. My question is ...
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Using an IV that has effects that cancel eachother out on aggregate

I have a dataset for which an exogenous event, has an opposite effect for two types of people. For people of type A, the event has positive effect, for people of type B, the event has a negative ...
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Heckman selection model: probit selection & logit outcome

I have a situation where I think I need to use a Heckman selection model to correct for endogeneity. I am interested in studying the effect of firm's market entry mode on its performance. Factors that ...
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224 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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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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135 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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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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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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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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922 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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430 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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720 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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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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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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74 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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244 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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754 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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75 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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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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581 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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517 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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826 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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3k views

Instrumental variable Tobit in R

I have a data generating process of the form: ...
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2k 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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259 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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344 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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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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172 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 ...