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请问各位大侠，在Heckman两步法中，如果选择模型的显著变量数量没有回归模型的显著变量数量多怎麽处理？

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关键词：heckman两步法 heckman Man HEC 两步法 heckman 步法

victorliou 发表于 2010-4-8 12:10
请问各位大侠，在Heckman两步法中，如果选择模型的显著变量数量没有回归模型的显著变量数量多怎麽处理？

Why does it matter?

wooldridge的现代观点的书上说，回归模型的解释变量集合应当是选择模型的解释变量集合的子集，不知道是不是这样？

victorliou 发表于 2010-4-9 23:12
wooldridge的现代观点的书上说，回归模型的解释变量集合应当是选择模型的解释变量集合的子集，不知道是不是这样？

I am not sure. Based on what you said here, I think it is NOT true. If you can quote what he said in his book(cut/paste and a page number), that would be interesting.

4# bobguy

计量经济学导论：现代观点（英文版），p620页，倒数第三段，第一句。

victorliou 发表于 2010-4-10 17:05
4# bobguy

计量经济学导论：现代观点（英文版），p620页，倒数第三段，第一句。

Please cut and paste what you quote.

victorliou 发表于 2010-4-10 17:05
4# bobguy

计量经济学导论：现代观点（英文版），p620页，倒数第三段，第一句。

"We recently mentioned that x should be a strict subset of z. This has two implications.
First, any element that appears as an explanatory variable in (17.46) should also be an
explanatory variable in the selection equation. Although in rare cases it makes sense to
exclude elements from the selection equation, including all elements of x in z is not very
costly; excluding them can lead to inconsistency if they are incorrectly excluded."

First, it is NOT necessary. But excluding them can lead to inconsistency if they are incorrectly excluded. That is true and always true.

The reason is that X measurements in a selected group may be(very likely) also GOOD indicaters to tell why he selects himself into that group. Put it differently, the X in selected group has higher/lower measurement values than that in NON-selected group.

Thank you!

bobguy 发表于 2010-4-10 21:59
"We recently mentioned that x should be a strict subset of z. This has two implications.
First, ...

假洋鬼子

wzw03 发表于 2012-10-26 21:48
假洋鬼子

同意，就是卖弄一下，什么也没说、、、