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gtsheckman: Generalized two-step Heckman estimator

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  • Alyssa Carlson

    (University of Missouri)

Abstract

In this presentation, 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 (2022), 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 incorporating heteroskedasticity.

Suggested Citation

  • Alyssa Carlson, 2022. "gtsheckman: Generalized two-step Heckman estimator," 2022 Stata Conference 01, Stata Users Group.
    • Handle: RePEc:boc:usug22:01
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