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Heckman123
Heckman123
Level I

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

Created: Aug 6, 2020 08:23 PM  |  Last Modified: Jun 8, 2023 5:19 PM (1721 views)

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! 

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P_Bartell
P_Bartell
Level VIII

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

Aug 7, 2020 09:59 AM (1682 views)  |  Posted in reply to message from Heckman123 08-06-2020

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.