[Gretl-users] Heckit rho

Allin Cottrell cottrell at wfu.edu
Tue Apr 7 10:21:17 EDT 2009


On Tue, 7 Apr 2009, Riccardo (Jack) Lucchetti wrote:

> On Tue, 7 Apr 2009, Starr, Brian wrote:
> >
> > At the bottom of the Heckit output is a 'rho' metric.  Does
> > anyone know what it is measuring?
>
> That's the estimated correlation coefficient between the
> disturbance term of the main equation and the one of the
> selection equation. AFAIK, calling it "rho" is fairly standard,
> but I may be wrong. Do you find it too cryptic?

I think maybe that should be mentioned in section 22.6 of the
User's Guide, where heckit is discussed.  There we talk of a
lambda but no rho.

Allin Cottrell



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