How to do 2-stage least squares (2SLS) / Instrumental Variable regression / Heckman self-selection model

Heckman123 — Fri, 09 Jun 2023 00:19:32 GMT

Hi there,

Is it possible to do a two-stage least squares model or IV regression or Heckman self-selection model in JMP? Is it also possible to get the inverse Mills ratio?

Thanks in advance!

Re: How to do 2-stage least squares (2SLS) / Instrumental Variable regression / Heckman self-selection model

P_Bartell — Fri, 07 Aug 2020 13:59:01 GMT

Have you looked through the JMP documentation? I also suggest perusing the the JMP User Community File Exchange in case someone has written a script or Add In that can perform these techniques directly.

Near as I can tell native JMP or JMP Pro does not have these specific capabilities. But it appears to me that all three are primarily variable selection techniques and JMP and especially JMP Pro have a pretty rich set of variable selection techniques...regression based, non linear (tree, neural nets,,,,). So you might be able to solve your specific problem using these native techniques.

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How to do 2-stage least squares (2SLS) / Instrumental Variable regression / Heckman self-selection model

Re: How to do 2-stage least squares (2SLS) / Instrumental Variable regression / Heckman self-selection model