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Re: st: censored model with sample selection

From   Mark Schaffer <>
To, Daniel Caro <>
Subject   Re: st: censored model with sample selection
Date   Mon, 06 Sep 2004 14:46:43 +0100 (BST)


Quoting Daniel Caro <>:

> Hello, 
> I have a model with a censored dependent variable and sample
> selection. I'm
> estimating my selection equation (probit) and then including the
> mills ratio
> that I get from this equation as a covariate in my main equation
> (cnreg). It
> seems that my selection is informative (mills ratio is significant).
> I
> understand that in this case my coefficients are correct but the
> standard
> errors are not. Does anyone know how can I correct my standard
> errors?

You'll have to do it "by hand".  Arthur Lewbel has a paper that discusses 
this, "Simple Estimators for Hard Problems".  You can get it from his home 

Wooldridge's 2002 book, chapter 12, section 4 onwards, has a more detailed 
discussion of how to go about it.

The alternative is bootstrapping, but I'm not a bootstrap expert; perhaps 
someone else on the list would have something to say on this.

Hope this helps.


> Thank you,
> Daniel
> *
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


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