Hello everyone,

I am examining the relation between tax planning and firm value. My data is an unbalanced panel data and I estimated the regression with fixed effects. As I suspect a selection bias, I want to perform a heckman selection model.
However, I am not sure about the control variables and whether to exclude any in the model.

My regression looked like this:
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reghdfe tobin btd  TA sales ppe vol nolassets foreigninc std ltd rd, absorb(Year sic) vce(cluster isin Year)
I tried the Heckman approach and the code looks like this:
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heckman tobin btd TA sales ppe vol nolassets foreigninc std ltd rd i.Year, select(taxavoid = TA sales vol ppe nolassets foreigninc std ltd rd i.Year) vce(robust)
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Heckman selection model                         Number of obs     =      2,829
(regression model with sample selection)        Censored obs      =      1,435
                                                Uncensored obs    =      1,394

                                                Wald chi2(19)     =     237.86
Log pseudolikelihood = -4144.806                Prob > chi2       =     0.0000

------------------------------------------------------------------------------
             |               Robust
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
tobin        |
       w_btd |   6.904373   1.240759     5.56   0.000     4.472531    9.336215
        w_TA |  -4.898546   .6854721    -7.15   0.000    -6.242046   -3.555045
       sales |  -.0730264   .0401021    -1.82   0.069    -.1516251    .0055723
        ppe2 |  -1.255607   .1520859    -8.26   0.000     -1.55369   -.9575241
         vol |   .0260516   .0290061     0.90   0.369    -.0307993    .0829026
   nolassets |   121.1902   113.3512     1.07   0.285     -100.974    343.3544
  foreigninc |    .014931   .0835962     0.18   0.858    -.1489145    .1787765
         std |   .3343805   .8761062     0.38   0.703    -1.382756    2.051517
         ltd |   .4227263   .1981058     2.13   0.033     .0344461    .8110065
    changerd |   23.37676   4.954492     4.72   0.000     13.66613    33.08739
             |
             |
       _cons |    1.31306   .1498813     8.76   0.000     1.019298    1.606822
-------------+----------------------------------------------------------------
taxavoid     |
        w_TA |   .6723251   .3413934     1.97   0.049     .0032062    1.341444
       sales |  -.2075946   .0338522    -6.13   0.000    -.2739438   -.1412455
         vol |   .0559122   .0211032     2.65   0.008     .0145507    .0972737
        ppe2 |   .5709638   .1226611     4.65   0.000     .3305524    .8113752
   nolassets |   419.0152   123.7301     3.39   0.001     176.5086    661.5217
  foreigninc |   .1127357   .0660463     1.71   0.088    -.0167126     .242184
         std |   1.129645   .5186263     2.18   0.029     .1131565    2.146134
         ltd |   .1060875   .0973646     1.09   0.276    -.0847435    .2969186
    changerd |  -.0004607   1.700443    -0.00   1.000    -3.333269    3.332347
             |
             |
       _cons |   .0981113   .0917423     1.07   0.285    -.0817003    .2779229
-------------+----------------------------------------------------------------
     /athrho |   -.009978   .0570314    -0.17   0.861    -.1217576    .1018015
    /lnsigma |   .2156416   .0404441     5.33   0.000     .1363726    .2949106
-------------+----------------------------------------------------------------
         rho |  -.0099777   .0570258                     -.1211595    .1014513
       sigma |   1.240658   .0501773                      1.146109    1.343006
      lambda |  -.0123789   .0707588                     -.1510635    .1263057
------------------------------------------------------------------------------
Wald test of indep. eqns. (rho = 0): chi2(1) =     0.03   Prob > chi2 = 0.8611

I also tried using the code xtheckmanfe but it does keep calculating and calculating and does not deliver any results.
1.) My question is now, is the code for the model conducted right?
2.) My fixed effects model before also showed a positive relation between tax avoidance (btd) and firm value (Tobin). Am I interpreting the Heckman model right that the coefficient of 6.9 also shows a positive relation or do I have to interpret it in another way?
3.) Is it possible that I do not have a selection problem because I cannot reject the H0 of the pictured Wald test?
I am using Stata 14.

Thank you in advance!