selection models

[mariSTATA]

Does anyone know what is the difference between Heckman model and Treatment effect, i.e in STATA : heckman versus treatreg?
Also, can anyone help me how to do Merton Model?
I would reallyyyyyyyyy appreciate your help

[LiekeJanssen1991]

I'm using the Merton Model for my master thesis, I'm using this paper for help: The effect of credit risk on stock returns by ChoongOh Kang and Hyoung Goo Kang (2009). But you have to estimate firm's asset value by a quite complicates formula which is almost equal to the variable spot price in the Black-Scholes formula. And... I did not manage to do this so far in Stata, it is easy to do in Excel with Solver.

[Nick Cox]

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[FernandoRios]

Hi MariSTATA,
I recommend you to go into the tretreg entry in the stata manual (If you have Stata 12) or the following link http://www.stata.com/manuals13/teetregress.pdf if you have stata13. Review the remarks and formulas section to understand what exactly is going on.
There is also the switching regression model, for which you can check: http://www.adeptanalytics.org/downlo...j_movestay.pdf. or for a more generalized version:
http://www.stata-journal.com/sjpdf.h...iclenum=st0107
Hope this helps.