Hello - I notice in the writeup for heckprob under "Options for predict"
(Stata 7 manual H-P, p.33), "p10" is defined as the predicted joint
probability that y(probit)=1 and y(select)=0. I thought that under this
model, y(probit) is only observed if y(select)=1. Therefore the joint
probability should be zero.
Concerned about this, I tried -heckprob- on the example on pp. 36-7 with
(1): y(probit) as originally constructed in the example (i.e. all 0's and
1's, no missing)
and
(2): y(probit) set to missing when y(select)=0.
I was relieved to see that I got the same estimation results whether or not
y(probit) was set to missing or zero when y(select)=0. Using the "p10"
option, however, I obtained non-zero values. Apparently, what is calculated
is the joint probability of y1*>0 and y2* >0 where y1* and y2* are the
underlying latent normally distributed variables for y(probit) and
y(select). While I agree that P(y1*>0 , y2* < 0) may be of some interest,
the writeup should be changed to reflect what is really being calculated.
Al Feiveson
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