I want to apply a Heckman estimation to a dynamic panel data with sample selection using the newly available xtheckman command in Stata 16.
I have a CSTS panel with T=5 and N=100 and would like to check the robustness of my System-GMM estimation results using a lagged dependent variable in the model.
Code:
xtheckman y l.y x z xz , select(dummy= gdp demo)
Literature recommendations welcome!
Thank you very much in advance!
Best, Steve
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