Dear Statalist Users,

I was hoping to get some inputs on how to evaluate the validity of the exclusion restriction in the Heckman selection model.

My sample suffers from the issue of self-selection and simultaneity. To correct for the latter, I have instruments and to correct for first I use the Heckman model.

So my selection equation is Probability of firms entering the international markets, and in the outcome equation, I take the intensity of the foreign market participation regressed on a set of variables. My exclusion restriction is Age. and for the outcome equation, I make use of xtivreg2 whereas selection is a probit estimation. I have panel data.

How do I establish the validity of my exclusion restriction?