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st: two-step estimation with mlogit


From   fatma bircan <bircan@metu.edu.tr>
To   statalist@hsphsun2.harvard.edu
Subject   st: two-step estimation with mlogit
Date   Fri, 05 Dec 2003 15:23:52 +0200

Fatma Bircan
Middle East Technical University
Department of Economics
210-2056


Hello, 

I have been trying to do two-step estimation using mlogit.  After
mlogit estimation, I calculate the lambda values for each choice as
follows;

pj= exp(v'b)   where v is the set of explanatory variables in the
selection    equationand b is the set of coefficients. j=0,1,...

Hj=invnorm(pj)

lambdaj=normd(Hj)/normprob(Hj)

and then including the lambda values, I estimate the equation of
primary interest which is a wage eqution in my case.

However, these estimation results do not give the efficient standard
errors. My question is that is there a stata rutin to obtain efficient
standard errors? How can I do the Heckman-correction to obtain
efficient standard errors. 

Tahnk you in advance


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