网上学习了大家的heckman分步法,我的Y是car7 X是dualrole 红色的toplender是一个只影响第一步而不太可能影响第二步的变量,请问大家这样分步法写的对吗?
use ma_car,replace /*Heckman Correction, Y=car7, X=dualrole, InstrumentVariable=toplender */
probit
dualrole toplender relsize hostile competing allcash crossind toehold tenderoffer pubdeal acq_size acq_q acq_leverage acq_roa runup volatility toptierib
estimates store selectionbias_1
predict Z,xb
gen invmills=normalden(Z)/normal(Z)
ivreg2
car7 dualrole $dealx $acqx $industry $yr invmills,cluster(gvkey)
estimates store selectionbias_2
跑出来的结果如下 invmill不显著 但X依然显著 说明不存在selection bias是吗?