On Identification and Estimation of Heckman Models

This article presents a Stata module to enable fixing the value of the correlation between the unobservables in Heckman models. These commands can solve two practical issues. First, for situations in which a valid exclusion restriction is not available, these commands enable exploring how the results could be affected by sample-selection bias. Second, stepping through values of this correlation can verify whether the global maximum of the likelihood function has been found. We provide several Stata commands to estimate these and related models with a fixed value of the correlation between the unobservables. These commands are available on the Boston College Statistical Software Components (SSC) archive and can be installed by typing ssc install fixedrho in Stata