gtsheckman: Generalized two-step Heckman estimator

Alyssa Carlson

Stata Journal, 2024, vol. 24, issue 4, 687-710

Abstract: In this article, I introduce the gtsheckman command, which estimates a generalized two-step Heckman sample-selection estimator adjusted for heteroskedasticity. This estimator has been previously proposed in Carlson and Joshi (2024, Journal of Applied Econometrics 39: 237–255), where the presence of heteroskedasticity was motivated by a panel-data setting with random coefficients. The gtsheckman command offers several advantages over the heckman, twostep command, including robust inference, a more general control function specification, and the incorporation of heteroskedasticity. I discuss syntax and the underlying methodology and provide examples showing how the gtsheckman command can be used in a variety of settings.

Keywords: gtsheckman; heckman; sample selection; heteroskedasticity (search for similar items in EconPapers)
Date: 2024
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj24-4/st0761/
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0761 link to article purchase

Related works:
Working Paper: gtsheckman: Generalized two-step Heckman estimator (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:24:y:2024:i:4:p:687-710

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

DOI: 10.1177/1536867X241297921

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().