Hi,
I am trying to estimate the effect of having a female director on board on earnings management. I have a continuous variable for earnings management as the dependent variable. I want to first predict the probability of having a female board member versus having an all-male board. I am doing this to mitigate the sample selection bias. Can I use Heckman's two step procedure for this?

I tried using the Heckman procedure as:
Code:
heckman em fem_dummy $Controls, select (fem_dummy = $Predictors) twostep
Where em is the earnings management variable, Controls is a set of other firm characteristics influencing em, fem_dummy is an indicator variable equal to 1 when there is a female on board and 0 otherwise, and Predictors is a set of variables predicting the probability of having a female on board. When I estimate this the fem_dummy variable gets dropped from the second step. However, if I estimate the two procedures separately, I get what I want. In other words, if I first estimate a probit and then include the inverse Mill's ratio in the second step, the dummy doesn't get dropped.

I want to know how a female on board can influence em but the automatic Heckman procedure won't tell me that. How can calculate the Heckman model without dropping the fem_dummy in the second step.

Thanks.