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From |
rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp.) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: predict options in heckprob |

Date |
Mon, 19 Aug 2002 16:20:47 -0500 |

Alan Feiveson <alan.h.feiveson1@jsc.nasa.gov> asks: > 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. y(probit) and the event "y1*>0" are one in the same, they either both evaluate to true (1) or false (0). Therefore P{y(probit)==1} and P(y1*>0) are equal. However, there are situations where y(probit) is left unobserved (when y(select)=0), but that doesn't change the fact that the (unobserved) value exists somewhere out there and is equal to 0 or 1. To see this, think about performing the following experiment: flip a fair coin and walk away while the coin is still in the air. I contend that the probability of flipping a head is 0.5 even though you were never around to see it. As such, I think the terminology in the manual is correct as it stands. --Bobby rgutierrez@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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