# 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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### 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 ...
404 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. ...
41 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 ...
187 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 ...
564 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 ...
27 views

### 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 ...
707 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 ...
379 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 ...
229 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 ā...
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 ...
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 ...
496 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 ...
796 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 $\beta$ ...
14 views

### 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 ...
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, \...
25 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 ...
15 views

### 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 ...
11 views

### 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/...
29 views

### 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 ...
149 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 ...