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Re: st: how to interpret the fitted value from first stage probit modle


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, yi jiang <yistata@gmail.com>
Subject   Re: st: how to interpret the fitted value from first stage probit modle
Date   Thu, 24 Feb 2005 19:45:25 +0000 (GMT)

Yi Jiang,

Quoting yi jiang <yistata@gmail.com>:

> i remember someone here talked about running probit modle in the first
> stage and then use the fitted value as an independent variable for the
> second stage regression.
> How to interprete the fitted value in the second stage when it's no
> longer 0 or 1 ?

If the two-step model you have in mind is a linear regression in the second
stage, this is just -treatreg- with the -twostep- option, and is described
in the manual.  You'll see on p. 283 that the second-stage regression is
augmented with the estimate of the hazard or inverse Mill's ratio from the
first-stage probit.  That is, the inverse Mill's ratio provides the fitted
values.

Hope this helps.

--Mark

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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 +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

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