Problem Note 67874: The QLIM procedure produces incorrect estimation results for the HECKIT option when SELECT(z=0) is specified
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If the following conditions are met in the QLIM procedure, the parameter estimates in the second stage equation of the Heckman's two-step sample selection model are incorrect:
- The HECKIT option is specified in the PROC QLIM statement.
- The SELECT option in the MODEL statement specifies a level a such that prob(z=a) = 1-F(x'β) in the first stage probit model.
For example, incorrect results are generated if the SELECT(z=0) option is specified where the levels of z are 0 or 1 in the first stage probit equation.
If an OUTPUT statement is specified, the statistics for the second stage equation and the inverse mills ratios for the first stage binary dependent variable in the output data set are also incorrect.
To circumvent the problem, create an alternative selection variable z1 such that z1=1 if z=0 and z1= 0 if z=1. Specify z1 as the dependent variable in the first stage probit equation, and specify SELECT(z1=1) in the second stage equation.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS/ETS | z/OS | 12.1 | 9.3 TS1M2 | ||
| Microsoft® Windows® for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Standard Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 R2 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows XP Professional | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista for x64 | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled AIX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled HP-UX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled Solaris | 12.1 | 9.3 TS1M2 | ||||
| HP-UX IPF | 12.1 | 9.3 TS1M2 | ||||
| Linux | 12.1 | 9.3 TS1M2 | ||||
| Linux for x64 | 12.1 | 9.3 TS1M2 | ||||
| Solaris for x64 | 12.1 | 9.3 TS1M2 | ||||
| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Econometrics Analytics ==> Regression SAS Reference ==> Procedures ==> QLIM |
| Date Modified: | 2021-06-03 15:08:38 |
| Date Created: | 2021-05-07 09:13:09 |