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Re: st: censored model with sample selection


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Daniel Caro <d34jn@unb.ca>
Subject   Re: st: censored model with sample selection
Date   Mon, 06 Sep 2004 14:46:43 +0100 (BST)

Daniel,

Quoting Daniel Caro <d34jn@unb.ca>:

> 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 
page,

http://www2.bc.edu/~lewbel/default.html

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.

--Mark

> 
> 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
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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