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Re: st: Heckman ordered probit


From   "laura serlenga" <lserlenga@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Heckman ordered probit
Date   Thu, 04 Aug 2005 23:14:59 +0200

Dear Ian,

Thanks a lot for your help and sorry for my late replay (was out of town).
I tried to compute the two-step procedure you suggested for a binary probit and then compare results with heckprob command. Estimations seem reasonable although with the two-step procedure I am loosing some observations with respect to the ml estimation. At this stage I donít think I fully understand how the heckprob command works and how the missing observations of the latent probit equation are treated (?)
However, in this two step procedure I guess I also need to compute new standard error and rho once I introduce the inverse mills ratio. Do you think this is correct?

Many thanks again for your precious help.

Best wishes
Laura

Laura Serlenga wrote:

ls> i am relatively new to stata but, since i am currently working on
ls> migration issues (intention to return and remittance) with cross-sectional
ls> data. i am finding it very useful. However, I need to run a Heckman
ls> selection model with an ordered probit in the outcome equation. I saw a
ls> couple of messages on the list dated 2003, does anybody know whether there
ls> has been any further development on the issue? would you suggest any other
ls> solution rather than modifying the heckprob.ado file?

One solution is to run a probit selection model based on inclusion or
exclusion from the observed variable (y_1), calculate the inverse mills
ratio as a correction factor, and then incorporate that correction
factor into the ordinal probit model for the outcome you are modelling
(y_2).

For example,

probit y_1 xvars ...

capture drop hat
capture drop invmills
predict hat if e(sample), xb
gen invmills = exp(-.5*hat^2)/(sqrt(2*_pi)*normprob(hat))

oprobit y_2 xvars ... invmills

--
Kind regards,
Ian

-------------------------------
Ian Watson
Senior Researcher
acirrt, University of Sydney
NSW, 2006, Australia

phone: 02 9351 5622
email:i.watson@econ.usyd.edu.au
www.acirrt.com
-------------------------------


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