*Author: Anastasia Semykina **************************************************************************** * THIS PROGRAM SHOULD BE APPLIED ON A BALANCED PANEL, WHERE THE SELECTION * INDICATOR IS ALWAYS OBSERVED, BUT THE DEPENDENT VARIABLE IN THE PRIMARY * EQUATION MAY HAVE MISSING VALUES * **************************************************************************** * THE PROGRAM BELOW ASSUMES THAT THERE ARE NEITHER VARIABLES WHOSE NAMES * START WITH T, t, m, g, q, lam * NOR VARIABLES NAMED cons, ehat, sample, num, obs, countid IN THE DATA SET * * IF THIS DOES NOT HOLD, THEN EITHER THE CORRESPONDING VARIABLES * SHOULD BE RENAMED OR THE PROGRAM SHOULD BE CHANGED ACCORDINGLY **************************************************************************** * IN local COMMANDS BELOW, NEEDS TO BE REPLACED WITH THE * CORRESPONDING VARIABLE NAMES * * TIME MEANS OF THE INSTRUMENTS AND TIME DUMMIES SHOULD BE OMITTED (!!!) * FROM THE VARIABLE LISTS; THESE VARIABLES WILL BE CREATED BY THE PROGRAM **************************************************************************** * V2 IS THE NAME FOR THE VARIANCE-COVARIANCE MATRIX CORRECTED FOR * THE FIRST-STEP ESTIMATION **************************************************************************** * THE PROGRAM PERFORMS SEVERAL CHECKS (COMPUTING BETA AND ROBUST VAR-COV * MATRIX AND COMPARING THOSE WITH THE ESTMATES OBTAINED USING BUILT-IN * STATA COMMANDS); THESE CAN BE USED TO VERIFY THAT PROGRAM WORKS CORRECTLY * * IF CORRECTED STANDARD ERRORS ARE UNREASONABLY LARGE, IT MAY BE USEFUL * TO RUN THE FIRST-STEP PROBIT REGRESSIONS SEPARATELY AND MAKE SURE THAT * THOSE ARE ALL RIGHT (FOR EXAMPLE, THAT NO VARIABLES ARE DROPPED FROM * PROBIT REGRESSIONS BECAUSE OF PERFECT COLLINEARITY) **************************************************************************** #delimit ; clear; set mem 80m; set matsize 600; use data.dta; local id ; local year