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Nick Cox
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Comparing Heckman and OLS results

Is it possible to compare coefficients across an OLS model and a Heckman model that has the same covariates (plus the inverse Mills ratio)?

The coefficient of my main variable of interest changes when I run the Heckman model. This is to be expected as I indeed have a severe sample selection problem. What I wonder is if I could test for the statistical significance of this change. That is, can I compare the coefficients reported by the OLS and Heckman models?

I'm using Stata for my analysis.